Weighted semi-variance risk measuring model for portfolio investment
Hui Jun · Journal of Hefei University of Technology · 2007
Semi-variance risk measuring models only consider the part under the expected returns.The risk bias coefficient is introduced in the paper and a weighted semi-variance risk measuring model for portfolio investment is established.Although the stock certificate price may have a partial mutation,its variety has the attribute of whole consecution in a long period of time.This paper quotes the estimated of the stocks by using the local integral mean value method in time series,thus smoothing the mutation factor of the stock certificate price and strengthening the function of the whole variety consecution factor,so that the regularity of the actual variety can be gained.