多期指数加权期望损失
MULTI-PERIOD EXPONENTIALLY WEIGHTED-EXPECTED SHORTFALL

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.
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