| RaR决策:一种新的投资决策方法 |
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| 引用本文： | 曹兴,彭耿. RaR决策:一种新的投资决策方法[J]. 管理科学学报, 2009, 12(1) |
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| 作者姓名： | 曹兴 彭耿 |
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| 作者单位： | 中南大学商学院,长沙,410083 |
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| 基金项目： | 国家哲学社会科学基金 |
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| 摘 要： | 在VaR(风险价值)的基础上,提出了RaR(风险收益率)的概念,通过分析正态分布和极值分布情况下的RaR计算结果,得出了RaR与期望收益及风险之间存在一种线性关系的结论.基于此,提出了一种新的投资决策方法,发现这种方法可以替代传统的效用函数决策法来进行投资决策.最后,利用这种新方法对投资组合的选择为例,说明了这种方法的可行性.
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| 关 键 词： | 投资决策 投资组合 |
RaR decision-making: A new method about investment decision-making |
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| CAO Xing,PENG Geng. RaR decision-making: A new method about investment decision-making[J]. Journal of Management Sciences in China, 2009, 12(1) |
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| Authors: | CAO Xing PENG Geng |
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| Affiliation: | CAO Xing,PENG Geng Business School of Central South University,Changsha 410083,China |
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| Abstract: | Based on VaR(Value at Risk)this paper puts forward the concept of RaR(Return Rate at Risk) and analyses the result of RaR under the two common distributions to draw a conclusion that the relation between RaR,expected return rate and risk is linear.Based on that,the paper advances a new investment decision-making method.The study discovers that method can substitute the traditional utility function.Finally,we test the method through a case of portfolio selection. |
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| Keywords: | VaR RaR |
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