| 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, 23(2): 46-48 |
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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,200052 |
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| 摘 要： | 指出传统的均值一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： | 风险调整收益 投资决策 均值-方差决策 风险组合偏差 风险度量 |
| 文章编号： | 1002-1566(2004)02-0046-03 |
| 修稿时间： | 2002-05-24 |
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, 23(2): 46-48 |
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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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