Hyperbolic Class Risk Spectrum Measurement And Portfolio Optimization Model In The Study

In last a decade, risk measurement technique has grown into a great concert of financial service and relative academic. Spectral Measures of Risk is the new risk measurement in recent years. Because of its eminent properties, Spectral measure of risk is given attentions by more and more researchers in particular, and becomes a lstest research content in financial risk management.Risk measure ES and Spectral Measures of Risk was introduced at first, the measure of risk and the investers attitude to risk was combined flexibly, a class ofrisk aversion functions (?) was introduced to the risk measure, which was HARAfunctions. The values of risk measure with the different risk aversion factors were compared. The difinition of Least Square Extrapolation was introduced and the Algorithms were designed, which were used to Spectral Measure of Risk, and superiorities were discussed. The method of minimizing the Expected Shortfall: the Pflug-Rockafellar-Uryasev method was introduced and was extended to HARA Spectral Measure of Risk M_?. Constrained risk-reward optimization is in factshown to coincide with unconstrained minimization of particular spectral measures.Finally, we got together the paper and mentioned the directions of the furtherresearch.