基于RDEU模型的风险度量

doi:10.52396/JUST-2021-0012

中国科学技术大学学报 ›› 2021, Vol. 51 ›› Issue (1): 65-74.DOI: 10.52396/JUST-2021-0012

基于RDEU模型的风险度量

郭传凤¹, 杜昕泽², 吴钦宇², 毛甜甜^2*

1.中国科学技术大学大数据学院,安徽合肥 230026;
2.中国科学技术大学管理学院,安徽合肥 230026

出版日期:2021-01-31 发布日期:2021-05-27

Measure of riskiness based on RDEU model

Guo Chuanfeng¹, Du Xinze², Wu Qinyu³, Mao Tiantian^2*

1. School of Data Science, University of Science and Technology of China, Hefei 230026, China;
2. School of Management, University of Science and Technology of China, Hefei 230026, China

Online:2021-01-31 Published:2021-05-27
Contact: *E-mail: tmao@ustc.edu.cn
About author:Guo Chuanfeng is currently a graduate student under the tutelage of Prof. Mao Tiantian at University of Science and Technology of China. Her research interests focus on Risk measurement and practical application.
Du Xinze received a bachelor's degree in statistics from the University of Science and Technology of China and continued his studies. He is now a PhD in Applied Mathematics from the University of Southern California.
Wu Qinyu is a PhD candidate in the School of Management, University of Science and Technology of China, and his research direction is risk management and mathematical finance.
Mao Tiantian (corresponding author) is an associate professor at University of Science and Technology of China (USTC). In 2012, she obtained PhD in Science from the University of Science and Technology of China. In May of the same year, she entered the Department of Statistics and Finance of the School of Management for postdoctoral work. Her research fields include risk measurement, risk management, random dominance and extreme value theory, etc.

摘要/Abstract

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.

关键词: 风险度量, RDEU 模型, 扭曲函数

Abstract: Motivated by References[3,4], 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 Reference[3] and the operational measure of riskiness of Reference[4] 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.

Key words: measure of riskiness, RDEU model, distortion function

中图分类号:

TU459

郭传凤, 杜昕泽, 吴钦宇, 毛甜甜. 基于RDEU模型的风险度量[J]. 中国科学技术大学学报, 2021, 51(1): 65-74.

GUO Chuanfeng, DU Xinze, WU Qinyu, MAO Tiantian. Measure of riskiness based on RDEU model[J]. Journal of University of Science and Technology of China, 2021, 51(1): 65-74.

参考文献

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基于RDEU模型的风险度量

Measure of riskiness based on RDEU model

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