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| 摘要: |
| 针对投资组合，为了能更好的刻画投资者的偏好和降低对异常值的敏感度，在已有的多元向量值风险值和条件尾部期望的基础上，本文引入多元向量值区域和加权风险值，并研究了他们的性质，在不同的Coupla函数下，分别得到了多元向量值区域和加权风险值的具体表达式，最后本文提供了相关的数值计算例子.本文所引入的向量值区域和加权风险值风险度量，拓广了文献中一些已有的结果. |
| 关键词: 加权风险值 区域风险值 多元向量值 Coupla |
| DOI： |
| 分类号:O211.9 |
| 基金项目: |
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| MULTIVARIATE VECTOR WEIGHT AND RANGE VALUE AT RISK |
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WANG Qiao-ling
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| Abstract: |
| For the investment portfolio, in order to better characterize investor preferences and reduce the sensitivity to outliers, this paper introduces the multivariate vector value area and weighted risk value risk measurement which are based on the existing multivariate vector value risk value and conditional tail expectations. And this paper studies their basic properties. Under different Coupla functions, the specific expressions of the vector value area and the weighted risk value are obtained respectively. Finally, this article provides relevant numerical calculation examples. The vector value area and weighted risk value risk measurement introduced in this paper extend some of the existing results in the literature. |
| Key words: RVaR WVaR multivariate risk measure Archimedean copula |
