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自从Markowitz在1952年发表“Portfolio Selection”以来,金融学家已设计了不少的风险度量方法,如方差法、下半方差法、平均偏差法、最大偏差法、VaR,等等.然而,这些方法有一个共同点,那就是,只考虑证券的价格运动,而没有将交易量因素考虑到风险度量中去.在通常情况下,这些风险度量方法以及建立在这些风险度量上的金融理论模型是能帮助投资者有效地防范和分散风险,但对类似于1997年的东南亚金融危机和2007年由美国次贷危机引发的金融海啸等一些突发事件所引起的金融危机却不能进行有效地防范,基于此,本文提出了一个新的风险度量指标——时变风险,以求既能反映通常情况下的风险状况,又能对突发事件的影响有所反映,以达到有效防范各种情况下的风险.时变风险是一个时间的函数,它是随时间变化的量,不是一个常量,这与人们对风险的感性认识是一致的,因此它对实践具有重大的指导意义.
Since Markowitz’s Portfolio Selection in 1952, financial scientists have designed quite a few risk measures such as variance, semivariogram, mean deviation, maximum deviation, VaR, etc. However, These methods all have one thing in common, that is, they only consider the price movement of the securities and do not take the trading volume factor into the measurement of the risk.Under normal circumstances, these risk measurement methods and the financial theories based on these risk measures The model can help investors effectively prevent and disperse risks. However, the financial crisis caused by some unexpected events like the Southeast Asian financial crisis of 1997 and the financial tsunami triggered by the U.S. subprime crisis in 2007 can not be effectively carried out Based on this, this paper presents a new measure of risk - time-varying risk, in order to not only reflect the normal situation of the risk, but also to reflect the impact of emergencies in order to achieve effective prevention of various The time-varying risk is a function of time, it is the amount of change over time, not a constant, which is consistent with people’s perception of the risk, This practice, it has great significance.