| 基于凸函数的风险测度 |
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| 引用本文： | 文平,秦伶俐.基于凸函数的风险测度[J].数学的实践与认识,2013,43(4):215-220. |
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| 作者姓名： | 文平 秦伶俐 |
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| 作者单位： | 新疆财经大学应用数学学院,新疆乌鲁木齐,830012 |
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| 基金项目： | 国家自然科学基金(71261024) |
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| 摘 要： | 利用凸函数构造了一种新的风险测度,发现它是包含了损失概率、损失期望值、绝对离差、绝对半离差,下偏矩、(α,t)模型、ES等常见方法的更为广泛的风险测度.对其性质的研究发现该风险测度满足凸性和协调性,考虑到凸性以及协调性在投资组合以及风险管理中的重要意义,因此对该风险测度的研究就具有一定的实践和学术价值.
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| 关 键 词： | 风险 风险测度 公理 凸函数 |
The Risk Measures Based on Convex Function |
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| WEN Ping
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QIN Ling-li.The Risk Measures Based on Convex Function[J].Mathematics in Practice and Theory,2013,43(4):215-220. |
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| Authors: | WEN Ping QIN Ling-li |
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| Institution: | (Xinjiang University of Finance and Economics,Wulumuqi Xinjiang 830012,China) |
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| Abstract: | This paper discovers that the risk measures based on convex function are good risk measures.They not only include some commonly seen risk measure but also satisfies convexity and tonicity.Considering the importance of convexity and tonicity,the risk measures have a research value. |
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| Keywords: | risk risk measures axiom convex function |
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