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Risk Measures Based on First Four Moments and Resulting Trading Strategies

作者: 发布时间:2014-12-12 点击数:
主讲人: O-Chia Chuang
主讲人简介:

Assistant professor in thedepartment of Mathematical Economics and Mathematical Finance, Economics and Management school,

Wuhan University 

主持人: Qingliang Fan 范青亮助理教授
讲座简介:

 

Abstract:
In this paper we propose a method to calculate the risk measures proposed by Aumann
and Serrano (2008) and Huang, Tzeng, and Wang (2012), where the former is related to
stochastic dominance, and the latter hinges on central dominance. This method enables us to utilize the information about mean, variance, skewness, and kurtosis of a distribution. We demonstrate the risk measure of Huang et al. (2012) provides sufficient information for the investment decision of all constant absolute risk averse investors in the traditional portfolio selection model. A trading strategy is then constructed with respect to this measure. Our empirical results show that this trading strategy outperforms buy-and-hold trading strategy during sample period from January 2001 to October 2009, and conclude that information of higher order moments are valuable for invest decisions.
 
时间:2014-12-12(星期五)16:30-18:00
地点:N303 经济楼/Economics Building
讲座语言:中文
主办单位:WISE-SOE
承办单位:
期数:威尼斯37266高级计量经济学与统计学系列讲座2014秋季学期第八讲(总第51讲)
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