A New Method For Investment Risk Measurement And Its Application

Securities investment is one of the finance investments in high risk, so the evaluation and measure of the risk in investing process became the sticking point.,and the research of risk measurement is the hotspot in finance invest research at all times. Markowitz mean-variance model inaugurate a new period for quantify of portfolio investment risk. In mean-variance model, the risk is defined as the uncertainty of yields'fluctuant, so win and loss are all regard as risk. Mean-variance risk measurement could get result easily in theory. However, as the research going deeply, it is found that the mean-variance model not only has flaw in theory, but also disagreeing with the real security business. Firstly, as indicated by lots of data from security business, yields vector is not always in Normal Distribution。Secondly, in Markowitz model, win and loss are treated as the same, which disobey the investor's real feeling for risk. For repairing the drawback of Markowitz mean-variance model, people have advanced a lot of other investment risk measurement theory and estimating method, such as Semi-variance, Var,β.Every investment risk measuring method is based on the understanding of risk, and different understanding of risk comes with different measuring method. This text is based on the deep analysis for existing investment and security investment concept, though deeply discussing on the characteristics of risk, then advanced a more completing definition of investment risk, that is investment risk include probability of loss, the volume of loss, the changeability of loss and the risk bias modulus. The volume of loss is the most important part in four facets. We all know that investment is a kind of activity which has preferred feeling, investors compared the win and loss, then make decisions. So we import the risk bias modulus, linked with the above definition of risk, and basing on Markowitz mean-variance model, then set up a new index of investment risk measurement:, which contains probability of loss, the volume of loss, the changeability of loss and the risk bias modulus. And then the more advanced one: +We also set up the investing decision-making model for these risk measurement. Forα, there is the method for how to estimate, and the result getting method for investing rate though Matlab.