| 摘要: |
| 本文研究了多期资产投资的风险度量问题.利用VaR及ES，结合投资者的投资行为与心理因素，以投资期限的划分为分界点，提出了一种新的多期风险度量——多期指数加权期望损失（MWES），并证明了它的凸性与单调性.推广了已有的风险度量方法. |
| 关键词: 指数加权 单期风险 多期风险 凸性 |
| DOI： |
| 分类号:F830;O211 |
| 基金项目:国家自然科学基金资助（11371284）. |
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| MULTI-PERIOD EXPONENTIALLY WEIGHTED-EXPECTED SHORTFALL |
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LIU Qiong, HU Yi-jun
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School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
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| Abstract: |
| In this paper, we study the risk measurement of multi-period financial asset investment. By using the VaR and ES, we consider the behavior and psychological factors of investors, divide the investment period and propose a new multi period risk measurement-multi-period exponentially weighted-expected shortfall. In addition, we prove its convexity and monotonicity. Moreover, we generalize the existing risk measurement methods. |
| Key words: exponential weighting single risk multi risk convexity |
