资产配置中投资者风险偏好的量化——兼论长短期风险偏好的关联

doi:10.16381/j.cnki.issn1003-207x.2019.1827

中国管理科学 ›› 2022, Vol. 30 ›› Issue (6): 11-21.doi: 10.16381/j.cnki.issn1003-207x.2019.1827

• 论文 • 上一篇

资产配置中投资者风险偏好的量化——兼论长短期风险偏好的关联

杨朝军¹, 周仕盈¹, ², 丁专鑫³, 马征程¹

1.上海交通大学安泰经济与管理学院，上海200030；兴银理财有限责任公司，上海200120；3.Wells Fargo Asset Management，Los Angeles 90001

收稿日期:2019-11-12 修回日期:2020-03-24 发布日期:2022-06-24
通讯作者: 杨朝军(1960-),男(汉族)，江苏宜兴人，上海交通大学安泰经济与管理学院，教授，博士生导师，证券金融研究所，所长，研究方向：金融市场与金融投资分析，Email：chaojunyang@sjtu.edu.cn. E-mail:chaojunyang@sjtu.edu.cn

Quantification of Investor’s Long-term and Short-term Risk Appetite in Asset Allocation

YANG Chao-jun¹, ZHOU Shi-ying^1,2, DING Zhuan-xin³, MA Zheng-cheng¹

1. Antai College of Economics and Management, Shanghai Jiaotong University, Shanghai 200030, China;2. China Industrial Bank Wealth Management, Shanghai 200120, China;3. Wells Fargo Asset Management，Los Angeles 90001, USA

Received:2019-11-12 Revised:2020-03-24 Published:2022-06-24
Contact: 杨朝军 E-mail:chaojunyang@sjtu.edu.cn

摘要/Abstract

摘要： 投资者风险偏好的量化是资产配置决策的关键步骤之一。常见的量化指标是风险厌恶系数，由于其取值较难确定，现代投资组合理论中也常用投资者最大可承受标准差对投资者的风险偏好进行衡量。文章介绍了获取风险厌恶系数的一种有效方法，一定程度上解决了资产配置中风险厌恶系数取值难的问题，并首次提出了以最大可承受标准差作为风险约束的时变性问题，有助于资产配置理论与实践的有机结合。在此基础上，考虑到资产配置的投资期限通常较长，本文对长短期风险厌恶系数之间的关联进行了研究。

关键词: 资产配置；风险偏好；风险厌恶系数；投资期限

Abstract: The quantification of investors’ risk appetite is one of the key steps in asset allocation. The article attempts to introduce an efficient method to measure the risk appetite from a new perspective. As more and more previous studies have shown, investors’ risk appetite, often measured by the risk aversion coefficient, is not a constant value. Thus it is of great significance to measure the risk appetite accurately in the investment process. In the Expected Utility Theory, the risk aversion coefficient is the quantification of risk appetite. In the Modern Portfolio Theory, however, the investors’ risk appetite is often measured by the maximum tolerable standard deviation, this is because the former can be difficult to be precisely valued. The relationship between the risk aversion coefficient and the maximum tolerable standard deviation for different types of investors is studied through mathematical derivation. Considering the long investment horizon in asset allocation, the inner relationship between long-term and short-term risk appetite is also studied.

Key words: asset allocation； risk appetite； risk aversion coefficient； investment horizon

中图分类号:

F830.2

杨朝军, 周仕盈, , 丁专鑫, 马征程. 资产配置中投资者风险偏好的量化——兼论长短期风险偏好的关联[J]. 中国管理科学, 2022, 30(6): 11-21.

YANG Chao-jun, ZHOU Shi-ying, DING Zhuan-xin, MA Zheng-cheng. Quantification of Investor’s Long-term and Short-term Risk Appetite in Asset Allocation[J]. Chinese Journal of Management Science, 2022, 30(6): 11-21.

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资产配置中投资者风险偏好的量化——兼论长短期风险偏好的关联

Quantification of Investor’s Long-term and Short-term Risk Appetite in Asset Allocation

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