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Chinese Journal of Management Science ›› 2005, Vol. ›› Issue (2): 8-14.

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Portfolio Analysis with An Asymmetric Risk Measure

HU Zhi-jun1,2, HUANG Deng-shi1   

  1. 1. School of Economics & Management, Southwest Jiaotong University, Chengdu 610031, China;
    2. Mathematica Department of Guizhou University, Guiyang 550025, China
  • Received:2004-08-18 Revised:2005-03-18 Online:2005-04-28 Published:2012-03-07

Abstract: Based on Jia & Dyer’s risk-value framework,this paper proposes an asymmetric risk measure model.The measure of risk is a weighted sum of below-target deviations and above-target deviations,where downside risk is supplemented with the "upper partial moment",we also setup the quadratic programming portfolio optimization model with this new measure;Consistency of the proposed optimal portfolio model with the third degree stochastic dominance is proved and finally an empirical study using data from Shanghai stock market is given in order to describe its application.

Key words: asymmetric risk function, portfolio analysis, risk-value model, stochastic dominance

CLC Number: