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基于谱风险度量的跨品种套利——方法与实证

发表时间:2015-01-15  浏览量:1591  下载量:516
全部作者: 傅强,黄敏
作者单位: 重庆大学经济与工商管理学院;重庆大学数学与统计学院
摘 要: 将考虑了风险态度的谱风险度量方法运用到期货的跨品种套利中,并在跨品种套利组合风险计算方面进行实证分析,将谱风险与传统的风险度量模型的实证结果进行比较,证明谱风险度量不仅可以保持传统度量模式的优点,还能使度量结果更加客观准确,符合现实情况。
关 键 词: 金融数学;谱风险;风险厌恶态度;跨品种套利
Title: Cross-species arbitrage based on spectral risk: measure-method and empirical
Author: FU Qiang, HUANG Min
Organization: School of Economics and Business Administration, Chongqing University; College of Mathematics and Statistics, Chongqing University
Abstract: In this article, we apply spectral risk measures method considering the risk attitude to cross-species arbitrage, and make an empirical analysis and comparison with traditional risk measurement model. The results show that the spectral risk measure can not only keep the advantages of traditional metrics model, but also to a more objective and accurate measurement results when measuring the risk of arbitrage portfolio.
Key words: financial mathematics; spectral risk measure; risk aversion attitude; cross-species arbitrage
发表期数: 2015年1月第1期
引用格式: 傅强,黄敏. 基于谱风险度量的跨品种套利——方法与实证[J]. 中国科技论文在线精品论文,2015,8(1):58-63.
 
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