A NEW MODEL OF RISK MEASURE BASED ON UTILITY --UTILITY CONDITIONAL DRAWDOWN AT RISK

摘要：

　　CDaR which is called conditional drawdown at risk is developed on the basis of CVaR.It is a kind of risk measurement model which is a combination of drawdown function and CVaR.Actually, for a given tolerance parameterα, CDaR is the mean of the worst (1-α)% drawdowns.But in real markets, different drawdowns bring investors different psychological feelings.In order to make the risk measure model reflect the investors psychological differences generated by different drawdowns, we introduce utility function into risk measure area to build a new risk measure model-utility conditional drawdown at risk.Furthermore, we prove that it is a reasonable risk measure model.

关键词： UCDaR Generalized Convex Risk Measure Utility Function.

作者: Kaili Guo Junzhang Hao

作者单位: School of Science, North China University of Technology, Beijing, 100144, China

会议类型: 国际会议

会议名称: The 12th International Conference on Industrial Management(第十二届工业管理国际会议)

会议地点: 成都

会议语种:英文

页码: 525-528

在线出版日期: 2014-09-03（万方平台首次上网日期，不代表论文的发表时间）