| 半方差风险计量模型的实证比较及改进研究 |
| |
| 引用本文： | 卫海英,徐广伟.半方差风险计量模型的实证比较及改进研究[J].暨南学报,2004,26(5):24-30. |
| |
| 作者姓名： | 卫海英 徐广伟 |
| |
| 作者单位： | 暨南大学MBA教育中心 广东广州510632
(卫海英)，暨南大学MBA教育中心 广东广州510632(徐广伟) |
| |
| 基金项目： | 暨南大学十五人文社会科学研究项目《马柯维茨风险计量模型的局限与改进研究》，2 0 0 3年全国统计科研计划项目(LX0 3 -Y10 )的阶段性研究成果 |
| |
| 摘 要： | Markowitz的均值—方差模型存在方差无法真实反映现实中风险大小等问题 ,半方差风险计量模型则弥补了这一缺陷。通过沪市A股样本数据实证分析 ,发现目前四种测度的半方差风险计量方法在衡量风险效果和资产配置效率方面还存在差异和不足 ,适用合理的半方差风险计量模型应在以上两方面都具有良好的特性从而满足有效衡量风险效果的条件
|
| 关 键 词： | 半方差 风险计量模型 实证分析 |
| 文章编号： | 1000-5072(2004)05-0024-07 |
| 修稿时间： | 2004年6月2日 |
An Empirical Comparison and Improvement Study on Semi-variance Risk Measure Model |
| |
| WEI Hai-ying,XU Guang-wei MBA Education Center School of Management Jinan University GuangZhou,China.An Empirical Comparison and Improvement Study on Semi-variance Risk Measure Model[J].Journal of Jinan University,2004,26(5):24-30. |
| |
| Authors: | WEI Hai-ying XU Guang-wei MBA Education Center School of Management Jinan University GuangZhou China |
| |
| Institution: | WEI Hai-ying,XU Guang-wei MBA Education Center School of Management Jinan University GuangZhou,510632,China |
| |
| Abstract: | Such a problem as risk degree, which can not be indicated actually in practice by variance based on Markowitz mean value-variance model, semi-variance risk measure model can remedy the defect. An empirical analysis was done based on Shanghai share-a sample datum, and some differences and pitfalls have been found in identifying risk effect and asset allocation efficiency by means of currently used four-measure semi-variance measure method. Some excellent features have been shown in above-mentioned two aspects by use of this reasonable semi-variance risk measure model so as to meet the requirement of identifying risk effects effectively. |
| |
| Keywords: | semi-variance risk measure model empirical analysis |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
