Riskmeasureanditsimpactoninvestmentdecisions

1、 risk measure and its impact on investment decisions abstract: this paper reviews the history of risk measurement methods used, pointing out the limitations of their office proposes to amend the vision and a new risk metrics - comprehensive risk bias. and make use of thousands of chinese stock marke

2、t conduct an empirical analysis of data, for example, on its use. keywords: risk measurement, positive and negative bias, integrated risk bias a study of the purpose and significance of this study aims to identify and measure the risks of investments in securities, according to portfolio theory, can

3、 be spread out through a combination of the risk of being called “non-systemic risk” or the “company special risk”, which originated from the various in-house the occurrence of specific issues, such as litigation, strikes, the success or failure of marketing strategies, contract signing and implemen

4、tation of the situation. as the companys own situation is different, leading to the risk of a larger gap between the various companies. an investment portfolio the basic idea is that by making a stock portfolio returns of the bad changes in stock returns by another change for the better offset, whic

5、h will maximize the spread this risk out. of course, there are still part of the mix is difficult to eliminate risk, is called “systemic risk” or “market risk.” risk usually comes from outside the company of some macro-economic or non-economic matters, such as war, inflation, recession, interest rat

6、e volatility. the occurrence of these matters all the companies would have an impact on operating conditions and thus can not be spread portfolio. this article focuses on the former risk, analyze the impact of investment decisions for investors. this helps management to engage in securities investme

7、nt risk management, providing a management objective standards, which regulate the securities market, optimizing the allocation of resources, thereby promoting economic stability and development. second, the status of current research 1, risk research and development of 【13】 since markowitz founded

8、in 1952, the portfolio since the risk measurement and financial capital allocation model for the financial investment research has been one of the hot, up to now, financial and investment experts and scholars have put forward a very different measure of risk models. from the models proposed by motiv

9、es of view, the risk measurement model to promote the development of the main factors are: (1) to deepen understanding of the meaning of risk. markowitz risk as the uncertainty of investment returns. can be a good measure of the variance due to the degree of uncertainty into the risk measurement met

10、hods. with investors feel the risk of psychological research, it is recognized that the risk comes from the possibility of loss of investment projects, therefore, there has been semi-variance and so the risk of changes in the measurement model . (2) the risk of psychological research. because each i

11、nvestors risk appetite and risk tolerance is different from the financial sector, the investment community and theoretical researchers have done a lot of research, hoping to find a more realistic situation risk measurement methods and more efficient return on his investment of the asset allocation m

12、odel. therefore, the risk measurement model, introduced to reflect investor risk appetite and risk tolerance of risk reference point, thus forming another type of risk measurement models. such as the expected regret methods. (3) the need to simplify the mathematical treatment. in a variety of risk m

13、easurement models of theoretical analysis, we often use mathematical methods to process, in order to facilitate the application of mathematical methods, without prejudice to the premise of the model features next, as far as possible it easier to deal with some of the mathematical model. such as the

14、variance and standard deviation, which is characterized essentially similar, but the variance of the mathematical treatment easier than the standard deviation, so in theory and practical applications, fang worse than the standard deviation generally. cvar risk measure recently proposed approach is a

15、lso in the var methodology difficulties encountered in mathematical treatment proposed. (4) risk management practices and other needs. risk measurement models to be able to apply to investment practices, which measure the results of must have a good economic interpretation, the previous number of ri

16、sk measurement methods. such as variance, semi-variance, standard deviation of the real reason why investors have not been widely accepted, in large part because they do not provide investors with a risk assessment to understand the value of .90 have occurred since the age of var despite widespread

17、criticism of the theoretical circles, but still get the real investors, regulators and widely accepted, the reason is that it provides an easy to understand plain language description of the risks. 2, the definition of risk with regard to the concept of risk, scholars have been to many definitions.

18、can be summarized into the following seven kinds of 【11】: will be the event itself, viewed as a risk of uncertainty; changes will be the possibility of future results as a risk; all kinds of possible outcomes as the risk of an adverse outcome; adverse results will occur as a possibility and extent o

19、f the adverse risks; will be the difference between the various possible outcomes viewed as a risk in itself; actual results in an objective reference object, the expected results of subjective and objective distance from the actual results as a risk; subjective expected results as a reference objec

20、t, the expected future results and subjective results of the gap as a risk. focused on the concept of and the uncertainty of the outcome of events; the concept of were concerned about the inconsistent with the expected negative results; further emphasize the concept of the negative results to the de

21、gree; the concept of , , are a class, focusing on results and a certain the gap between the reference standard. as the starting point and understanding of differences, the above definition does not accurately define the risk of a general. therefore, the insurance industry say is likely to lead to th

22、e risk of loss of property, the definition of financial management is likely to lead to financial the risk of system instability or even collapse of the securities investors, said speculative trading is the risk of huge losses that may arise, venture capitalists say it is possible due to investment

23、failure led to lose all their risks. well, such as technical risk, market risk, manage risk, financial risk, policy risk and so on. although using the same vocabulary, but the content of narrative are different concepts and definitions on the description of the risks are different. therefore, this o

24、bject of study focused on , two kinds of conceptual framework in order to narrow the scope of focus examine this issue. 3, risk quantification at present, the common risk measure can be divided into three categories. the first category: the number of characteristics of risk distribution to construct

25、 a risk measure, rather than directly related to the behavior of the main characteristics of the degree of risk preferences. the typical examples are: (1) variance risk measure and its extended markowitz (markowitz) in the portfolio theory of investment rate of return r of the mean (mean) e (r) meas

26、ure of portfolio returns of investment rate of return r of the variance (variance) 2 (r) measure of the investment portfolio risk. this is called the mean - variance of decision-making rules. variance was used to measure fluctuations in the size of a random variable indicators, when the volatility o

27、f a random variable symmetric distribution, the greater the earnings volatility of a random variable, the greater their potential losses. therefore, when the distribution of random variables symmetrical pattern, the use variance to indicate the risk is appropriate. markowitz in 1952 due to investmen

28、t portfolio analysis, assuming that the portfolio rate of return of the assets of the joint distribution of the normal distribution. therefore, its analysis is appropriate. the standard deviation (standard derivation) and the variance of the characteristics of the same, but the standard deviation in

29、 mathematical analysis, easier to handle, so traditional, the measure of the volatility of a random variable commonly used instead of the standard deviation of the variance. however, analysis of variance although the nature of their easy mathematical treatment, but using it for investment portfolio

30、optimization, there are difficulties in calculation, because of the need for solving quadratic programming problems, konno and yamazaki (1991), hu east (2000) suggested that, using standard deviation as a risk measure, you can simplify the portfolio optimization computing. because you can only solve

31、 linear programming problems. for example, consists of two investment programs, their rates of return as random variables x and y, mathematical expectation, respectively x and y, standard deviation, respectively x and y, in the mean - variance of the decision-making rules, the so-called x is better

32、than y, is it meets the following two criteria: guidelines 1: x y, x y guideline 2: where: rf for the market risk-free rate. although the variance measure has good features, but since the variance as a risk measure proposed by markowitz indicators, is still subject to numerous criticisms and challen

33、ges. the focus lies on the investment rate of return normally distributed characteristics, it is not good or bad rate of return volatility points (will be higher than average rates of return are also considered risk). fama, according to sen and cinco feld wave holding such people in the u.s. stock m

34、arket returns in the distribution of investment research and bucos tebbe, clark containing option portfolio return distribution of research, the basic denial of the normal distribution assumption of investment returns. semi-variance (semivariance), semi-standard deviation (standard semiderivation) -

35、 half the square root of the variance, it is in this kinds of context proposed by the ha luoti the concept of a semi-variance is used to measure risk, that is only concerned with the risk of loss while the value of (downside risk). used to address asymmetries in the distribution rate of return when

36、the risk of measurement problem, but model contains the variables of view, these two methods are not “pure” because the model contains a mean of investment returns, risk for money depends not only on the size of the losses and the possibility of a variety of adverse scenarios, but also with a favora

37、ble return on investment scenarios about. but is still widely accepted as a risk measure based on the variance. mean - variance decision-making rules but also to investment decision-making has been widely used. (2) with benchmark risk measure from the risk of starting the original semantics, the ris

38、k should reflect the assets in the event of adverse changes in a variety of possibilities, from an investment rate of return perspective, the risk should reflect the investment rate of return in a certain income level the possibilities of the high and low, from the investment portfolio changes in va

39、lue perspective, the risk should reflect the value of investment portfolio losses in excess of the size of the possibility of a reference point. therefore, for investors, concerned about the risk that the focus on its investment rate of return or the investment value of a reference point appears in

40、the following the distribution. baseline measure of downside risk (downside risk measure) is considered the traditional portfolio theory, a major improvement. however, with each investor risk appetite and risk tolerance are different, so each investor has, and his right compatible with the distincti

41、ve world of cognitive reference point. contains reference point a lot of the risk measurement model, the most common and frequently used benchmark is the semi-variance measure of downside risk (special circumstances), and lpm - lower partial moment ( the general case). in which semi-variance is a mo

42、re reasonable risk metrics (even markowitz himself has admitted this). in terms of theory, experience, or practice, semi-variance and expected utility maximization are (expected utility maximization) is almost identical 【4】 【5】. its an improvement - and a half standard deviation is also very good in

43、 nature, and based on the preferences of an axiomatic model of risk aversion - second-order stochastic dominance (second degree stochastic dominance - ssd) are almost identical 【1】. but harlow (harlow) of the lpm model is more mature. harlow in the portfolio theory, introducing the risk of the bench

44、mark (risk benchmark) - investment rate of return r, a target value of t (target rate), with the lpm (lower partial moments) measure of portfolio risk: where r is the portfolio rate of return, f () for the rate of return r of the distribution function, v is the benchmark rate of return. when n = 0 s

45、hi, lpm0 = p (r0, called for comprehensive risk ri deviation. then the combination of the above-mentioned risk deviation is only integrated risk deviation = 1 the special case of bale. i think, because risk is asymmetric, so 1. concrete results, it should be obtained through the empirical analysis.

46、ri comprehensive risk bias will be positive deviation and negative deviation of organically combined, reflecting the two different kinds of deviation of the impact of investment decisions. ri greater, indicating a greater risk of investment projects; if ri is less than 0, then the very investment va

47、lue. integrated risk deviation can be used to compare the merits of a series of investment projects. in particular, when investors pay more attention to the time of investment risk. 4, empirical analysis application of theoretical models described above measure of financial assets or their risk port

48、folio is a precondition for financial assets or changes in the value of its portfolio, or rate of return distribution must be determined, which in practice is often not possible. in practice there are two situations: one is based on theoretical analysis to determine the value of financial assets or

49、earnings rate of change in the distribution of types, but the distribution of unknown parameters. in this case, we can use statistical parameter estimation methods (such as point estimates or greatly likelihood estimation method) to estimate the distribution parameters of the model, and then estimat

50、e the parameters substituted into the above-mentioned theoretical model can measure the risk of money. another is that even the value of financial assets or the distribution of types of rates of return can not be sure, in this kinds of cases, the only scenario based on historical data or simulated d

51、ata to characterize the distribution of their experiences, and then measured their risk based on experience distribution of money. in practice is often a situation where after the majority, so risk management or control, historical data accumulation and the corresponding establishment of the databas

52、e is very important. therefore, i take the data, the shanghai stock from the distribution of a random sample drawn by the same five stocks of historical data, take a weeks closing price of the weekend, the time range from january 5, 2001 -2003 after years of april 30 to make some adjustments to the

53、formation of a total of 115 weeks of data; while shenzhen stocks for the same operation. they were calculated the overall risk of bias, according to returns the greater the risk the greater the principle (that is, no-arbitrage principle, otherwise there is arbitrage opportunity .), estimate their value of . meanwhile, the original can be a variety of methods available, simulating their distribution, calculate the risk. at last, these data t