A new kind of risk measurement method-Weighted Conditional Drawdown at Risk
CDaR which is called conditional drawdown at risk is developed on the basis of CVaR.It is a kind of risk measurement which is a combination of drawdown function and CVaR.Actually,for a given tolerance parameter α,CDaR is the mean of the worst (1-α)% drawdowns.CDaR is a uniform average of all drawdowns that is greater than threshold,therefore CDaR treats all the drawdowns beyond threshold equally.But in real markets,the different drawdowns bring investors the different psychological feelings.In order to make the risk measure reflect the investors’ psychological differences generated by the different drawdowns,we construct a new risk measurement where the variable weight function is assigned to the drawdown function.WCDaR is further applied to the portfolio optimization problem.The portfolio optimization model of portfolio return-risk based on WCDaR is built and is transformed into nonlinear programming problem in this paper.Finally,this paper select 10 stocks of Chinese A-share market in the financial industry for the empirical analysis to demonstrate the effectiveness of WCDaR model.
WCDaR Generalized convex risk measure Portfolio optimization Weighted function
Guo Kaili Hao Junzhang
School of Science, North China University of Technology, Beijing, China, 100144
国际会议
大连
英文
14-19
2014-06-30（万方平台首次上网日期，不代表论文的发表时间）