摘要
通过对 Va R的一些缺陷进行分析 ,并例证了 Va R在一些情况下不能准确识别风险以及 Va R缺乏次可加性 .提出了损失期望值这一更接近于投资者真实心理感受的风险度量方法 ,并证明了它是满足次可加性的风险度量方法 .
In this paper we study some faults of VaR and exemplify that VaR is not able to distinguish portfolios which bear different levels of risk and that VaR is not subadditive in some cases.We put up a new risk measurement Expected Shortfall which is nearer to the feeling of investor for risk,and we give proofs that Expected Shortfall is a risk measurement with subaddition.
出处
《湖南大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2001年第6期122-127,共6页
Journal of Hunan University:Natural Sciences
