| 现代投资组合理论中风险测度方法的比较分析 |
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| 引用本文： | 姜晓兵,温小霓.现代投资组合理论中风险测度方法的比较分析[J].价值工程,2006,25(5):122-123. |
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| 作者姓名： | 姜晓兵 温小霓 |
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| 作者单位： | 1. 西北农林科技大学经济管理学院,杨凌,712100;西安电子科技大学经济管理学院,西安,710071
2. 西安电子科技大学经济管理学院,西安,710071 |
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| 摘 要： | 现代投资组合理论在半个世纪的演变过程中,先后出现了四种风险测度方法:方差、绝对离差、半方差、对数半方差风险测度。本文在对其简单介绍的基础上,着重评述了各自的优劣,并为更完善风险测度的研究,提出了供参考的建议。
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| 关 键 词： | 现代投资组合理论 风险测度 |
| 文章编号： | 1006-4311（2006）05-0122-02 |
Comparative Analysis on Risk Measure Methods in Modern Portfolio Investment Theory |
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| Jiang Xiaobing,Wen Xiaoni.Comparative Analysis on Risk Measure Methods in Modern Portfolio Investment Theory[J].Value Engineering,2006,25(5):122-123. |
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| Authors: | Jiang Xiaobing Wen Xiaoni |
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| Abstract: | There are four risk measure methods:Variance measure,Mean-absolute measure,Semi-variance measure and Logarithmical semi-variance measure in Modern portfolio investment theory.This paper,on the based introduction of these risk measure methods,analyzes their advantage and disadvantage,and provides some advice to perfect risk measure. |
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| Keywords: | modem portfolio investment theory risk measure |
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