| 风险调整收益及其在投资决策中的应用——对均值—方差决策准则一点补充 |
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| 引用本文： | 黄桐城,刘春章,陈汉军.风险调整收益及其在投资决策中的应用——对均值—方差决策准则一点补充[J].数理统计与管理,2004(2). |
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| 作者姓名： | 黄桐城 刘春章 陈汉军 |
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| 作者单位： | 上海交通大学管理学院，上海交通大学管理学院，上海交通大学管理学院 上海200052，上海200052，上海200052 |
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| 摘 要： | 指出传统的均值 方差决策规则在度量风险方面的不足,认为风险与投资收益的偏差有关;指出了一种新的风险度量指标———风险组合偏差,同时提出了一种能够根据风险大小进行投资的决策指标———风险调整收益,并举例说明了二者在分析投资项目时的应用。
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| 关 键 词： | 风险 正偏差 负偏差 风险组合偏差 风险调整收益 |
Risk-adjusted-return and its application in investment decision ——a complement for mean-variance decision rule |
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| HUANG Tong-cheng,LIU Chun-zhang,CHEN Han-jun.Risk-adjusted-return and its application in investment decision ——a complement for mean-variance decision rule[J].Application of Statistics and Management,2004(2). |
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| Authors: | HUANG Tong-cheng LIU Chun-zhang CHEN Han-jun |
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| Abstract: | The article identifies the shortcoming of the traditional mean-variance decision rule in the measurement of risk.The authors think that the risk is related to the skewness of investment return,and propose a new index of risk measurement,risk combination deviation,and a new index of investment decision,risk-adjusted-return,which can be adjusted by the risk.Finally,an example is used to illustrate the application of the two indexes in investment analysis. |
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| Keywords: | Risk Positive deviation Negative deviation Risk combination deviation Risk-adjusted-return |
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