| 高阶矩风险与金融投资决策 |
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| 引用本文： | 王莺歌,江孝感.高阶矩风险与金融投资决策[J].价值工程,2008,27(9). |
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| 作者姓名： | 王莺歌 江孝感 |
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| 作者单位： | 东南大学经济管理学院,南京,211189 |
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| 摘 要： | 针对传统投资组合理论没有考虑高阶矩风险这一缺陷,总结近期金融领域中有关偏度和峰度的研究成果,基于"均值-方差"效用函数的Taylor展开,讨论了投资者对高阶矩风险(偏度风险和峰度风险)的偏好特征。
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| 关 键 词： | 金融风险 效用函数 高阶矩风险 投资决策 |
Higher Moments Risk and Finacial Invesment Decision |
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| Wang Yingge,Jiang Xiaogan.Higher Moments Risk and Finacial Invesment Decision[J].Value Engineering,2008,27(9). |
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| Authors: | Wang Yingge Jiang Xiaogan |
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| Abstract: | A defect in traditional portfolio theory , without higher moments risk , is pointe-d out in the paper . And the achievements of skewness and kurtosis in finacial rea is su-mmarized . Then , basedon Taylor series expansion of "mean-variance"utility function , the higher moments risk (skewness risk and kurtosis risk) which are partialed by invesrors is discussed. |
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| Keywords: | finacial risk utility function higher moments risk invesment decision |
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