[1]高全胜.基于相容风险测度的结构夏普比率[J].深圳大学学报理工版,2005,22(4):310-315.
 GAO Quan-sheng.Structure sharpe ratio based coherent risk measure[J].Journal of Shenzhen University Science and Engineering,2005,22(4):310-315.
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基于相容风险测度的结构夏普比率()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第22卷
期数:
2005年4期
页码:
310-315
栏目:
数学与应用数学
出版日期:
2005-10-30

文章信息/Info

Title:
Structure sharpe ratio based coherent risk measure
文章编号:
1000-2618(2005)04-0310-006
作者:
高全胜
武汉工业学院数理系,武汉430023
Author(s):
GAO Quan-sheng
Mathematical and Physical Department Wuhan Polytechnic University Wuhan 430023 P. R. China
关键词:
相容风险测度结构夏普比率投资绩效资本分配
Keywords:
coherent risk measurestructure sharpe ratioinvestment performancecapital allocation
分类号:
F 224. 0
文献标志码:
A
摘要:
在相容风险测度的意义下,对夏普比率给出一个新的结构性解释,在包括无风险资产和纯粹风险资产的投资组合下对夏普比率进行推广,考虑了投资结构对风险的影响,及其在具有多资产组合和一般测度空间背景下的应用.实证分析研究了郑州商品交易所农产品期货投资中最优资产分配和最优投资绩效问题.
Abstract:
A new interpretation of the Sharpe ratio of coherent risk measurement is shown. The sharpe ratio is extended to:portfolios including risk-free capital and portfolios wholly allocated to risk capital,thus considering the influence of investment structure. The methodology is applied to portlfolios with many assets in an environment where probabilistical results are better than those in current literatures. This method is used to optimize capital allocation and investment performance of agriculture future investments on the zhengzhou Commodity Exchange.
更新日期/Last Update: 2015-10-16