%0 Journal Article
%T 多期指数加权期望损失<br>MULTI-PERIOD EXPONENTIALLY WEIGHTED-EXPECTED SHORTFALL
%A 作者
%A 刘琼
%A 胡亦钧
%J 数学杂志
%D 2018
%X 本文研究了多期资产投资的风险度量问题.利用VaR及ES，结合投资者的投资行为与心理因素，以投资期限的划分为分界点，提出了一种新的多期风险度量——多期指数加权期望损失（MWES），并证明了它的凸性与单调性.推广了已有的风险度量方法.<br>In this paper, we study the risk measurement of multi-period financial asset investment. By using the VaR and ES, we consider the behavior and psychological factors of investors, divide the investment period and propose a new multi period risk measurement-multi-period exponentially weighted-expected shortfall. In addition, we prove its convexity and monotonicity. Moreover, we generalize the existing risk measurement methods
%K 指数加权 单期风险 多期风险 凸性&lt
%K br&gt
%K exponential weighting single risk multi risk convexity
%U http://sxzz.whu.edu.cn/sxzz/ch/reader/view_abstract.aspx?file_no=20180118&flag=1