Further Researches On A New Risk Measure Model And Its Security Portfolio Selection Theory

The paper [1] gives some weight coefficients of stock risk measure model by some qualitative methods, and for finding the quantitative coefficients ,this article tries to quantitatively study the method of stock risk measure model by the method of fitting Structural Equation Model , and using this method,this paper gives paper [1] the coefficients of new stock risk measure model.Transaction costs are very important in security investment,in finance mar-kets,both buying security and selling security need to give some transaction costs,which influents investor's final return.Therefore, transaction costs must be considered in security investment,furthermore,haling no consideration of transaction costs might lead to invalid portfolios.Because there is no considerring transaction costs in the paper [1] , this text adds transaction costs to paper [1].Finally,a case study on its application is given. The conclusion shows both the new risk measure model and portfolio with transaction costs are valid.Face to the truth that rational investor is dissatisfied with return and dislike risk,this paper studies Two-Objective Decision-Making with transaction costs based on the new risk measure model of the paper [1], then this paper translates the Two-Objective Decision-Making model into one-Objective Decision-Making in order to give its solution conveniently. and finally, a numerical example is given.The portfolio is one-period in the paper [1], this paper founds multi-period portfolio model based on the new risk measure index, and finally, a numerical example and its analysis are given.