| 基于相容风险测度的结构夏普比率 |
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| 引用本文： | 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 |
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| 作者姓名： | 高全胜 |
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| 作者单位： | 武汉工业学院数理系,武汉,430023 |
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| 基金项目： | 湖北省教育厅资助项目(D200518010) |
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| 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.
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| 关 键 词： | 相容风险测度 结构夏普比率 投资绩效 资本分配 |
| 文章编号： | 1000-2618(2005)04-0310-06 |
| 收稿时间： | 2005-03-08 |
| 修稿时间： | 2005-03-08 |
Structure sharpe ratio based coherent risk measure |
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| GAO Quan-sheng. Structure sharpe ratio based coherent risk measure[J]. Journal of Shenzhen University(Science &engineering), 2005, 22(4): 310-315 |
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| Authors: | GAO Quan-sheng |
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| Affiliation: | GAO Quan-sheng Mathematical and Physical DepartmentWuhan Polytechnic UniversityWuhan 430023P.R.China |
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| 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. |
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| Keywords: | coherent risk measure structure sharpe ratio investment performance capital allocation |
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