A Special Class Of Investment Groups, Spectral Risk Measures And Optimal Portfolio

With the integration of global economic development, financial market risks have also become an important factor in global economic development. How to measure the risks faced by investors, has been to is an important research content in modern financial theory. risk measure is always used to to optimize the investment portfolio.In this paper, we mainly study a special class of investment groups, the spectral risk measure. Investment groups' risk aversion is not monotonous, but beginning with the increasing of wealth, investors' absolute risk aversion is gradually reduced. When the wealth beyond a certain expected value, the investors' absolute risk aversion is gradually increasing. In this paper, firstly, we study the meaning of risk in economic, Second, we introduce a variety of risk measurement methods And compare their advantages and disadvantages and construct different portfolio optimization model. Finally we construct the spectral risk measure function with the method of SMR. At the same time,we establish a spectral risk measure as the objective function of the optimal portfolio model, and select the Shanghai stock market's actual data to vertify the theory.