NDLI: Research on risk measure with multiple risk preference and portfolio optimization

Content Provider	IEEE Xplore Digital Library
Author	Kang Yu-hong Zhang Ke-yi Fu Shu-min
Copyright Year	2012
Description	Author affiliation: School of Management, Harbin Institute of Technology, China, 150001 (Kang Yu-hong; Zhang Ke-yi) \|\| Tieling North Asia Medicinal Oil Co., LTD, China, 112000 (Fu Shu-min)
Abstract	In order to reflect investors' multiple risk attitude towards to capital gains distribution corresponding to the risk, this paper presents a new risk measure, which can make the measured risk be monotonic, translation regressive and non-linear additive. Monotonicity and translation regressive reflect risk measure's basic economic sense, and non-linear additivity describes the investors' multiple preferences to different direction fluctuations of capital gains. Investors' risk attitude towards to negative fluctuations of the return on assets can be described by the non-linear additivity's local time additive, while investors' risk attitude towards to positive fluctuations in return on assets can be described by the non-linear additivity's local super-additivity. Furthermore, this paper builds the portfolio optimization model t combining with the risk measure method, and analyzes the impact of the investors' multiple risk attitude for the investment strategies. The results show that when the investors are more preferred to obtain excess returns, they should take the centralized investment strategies, while when the investors are more preferred to avoid the loss, they should take the decentralized investment strategies.
Starting Page	338
Ending Page	344
File Size	368882
Page Count	7
File Format	PDF
ISBN	9781467330152
ISSN	21551855
e-ISBN	9781467330145
DOI	10.1109/ICMSE.2012.6414203
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-09-20
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Economics Reactive power non-linear additivity Fluctuations investment strategy Investments portfolio optimization risk measure Loss measurement Portfolios Optimization multiple risk preference
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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