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首页> 外文期刊>The Open Statistics & Probability Journal >Portfolio Analysis of Investments in Risk Management
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Portfolio Analysis of Investments in Risk Management

机译：风险管理投资组合分析

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摘要

In many practical investment situations the amount of available memory on stock data is extremely huge. Thus many investors are attracted to base their decisions on the information "currently available in their minds" (see [1, 2]). In the present paper various risk measurement models having application in the investment management are discussed. First we explain the concept of mean variance efficient frontier and Markowitz’s model to find all efficient portfolios that maximize the expected returns and minimize the risk. Markovian risk measures are also mentioned. Some measures of portfolio analysis based on entropy mean-variance frontier are studied. Risk aversion index and Pareto-optimal sharing of risk are explained. In view of these facts it is very interesting to study how the investor should make investments so that his total expected return is maximized and the risk of losing his capital is minimized. A maximum entropy model in risk sharing is proposed and applied to some problems.
机译：在许多实际的投资情况下，股票数据上的可用内存量非常大。因此，许多投资者被吸引来根据“他们脑海中目前可用的”信息做出决定（参见[1，2]）。在本文中，讨论了可在投资管理中应用的各种风险度量模型。首先，我们解释均值方差有效边界的概念和Markowitz模型，以找到所有能够最大化预期收益并最小化风险的有效投资组合。还提到了马尔可夫风险度量。研究了基于熵均值方差前沿的投资组合分析方法。解释了风险规避指数和帕累托最优风险分担。鉴于这些事实，研究投资者应如何进行投资以使他的预期总收益最大化以及使他的资本损失的风险最小化是非常有趣的。提出了风险共享中的最大熵模型，并将其应用于某些问题。

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