基于RDEU模型的风险度量
Measure of riskiness based on RDEU model
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摘要: 风险度量主要应用于人们面对未知风险的情况下,如何准确地量化风险从而做出损失最小化或收益最大化的决策.准确的风险度量可以极大地帮助投资者调整投资组合进而规避风险,以期实现最大化收益.为了准确地度量风险,学者根据风险资产服从的客观分布进行量化,但是这种方法的问题在于度量方法是基于人们怀疑的分布,而不同人对待风险资产的态度是不一样的,风险资产可能对某些人来说是无风险的,同时又太过冒险而不被其他人接受.为了将客观分布和主观感受更好的结合,在秩相依期望效用(rank dependent expected utility) 模型的基础上提出一种主观的“赌博”(风险资产) 风险度量: 它既取决于赌博本身,也取决于决策者的态度.同时,这种度量方法适用于所有有界赌博,使得不同赌博的比较更加容易.Abstract: Motivated by References3,4, we introduce a new measure of riskiness based on the rank-dependent expected utility (RDEU) model. The new measure of riskiness is a generalized class of risk measures which includes the economic index of riskiness of Reference3 and the operational measure of riskiness of Reference4 as special cases. We probe into the basic properties as a measure of riskiness such as monotonicity, positive homogeneity and subadditivity. We study its applications in comparative risk aversion as well. In addition, we present a simulation to illustrate the results.
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