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   传统风险测度 的翻译结果: 查询用时:0.185秒
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传统风险测度
相关语句
  traditional risk measure
     Take the multifractal spectrum of high frequency price time series of Shanghai Stock Exchange Composite index as example, a new market risk measure based on two main parameters of multifractal spectrum is constructed, which may make up for the shortcomings of traditional risk measure in inefficient markets.
     以上海证券交易所综合股价指数高频价格时间序列的多标度分形谱计算为例,建立了基于多标度分形谱两个主要参数的市场风险测度指标Rf,弥补了传统风险测度指标在非有效市场条件下的不足.
短句来源
  traditional risk measures
     This paper uses mean return, CAPM risk measures beta(β) and traditional risk measures (standard deviation, skew and kurtosis) to empirically study investment decisions of investment funds between 2000 and 2002. We find that the level of investment funds ownership is not significantly related to beta(β) and a little significantly related to standard deviation, skew and kurtosis of stock return.
     使用股票的平均收益、CAPM风险测度(β值)和传统风险测度(标准差、偏度和峰度)对我国证券投资基金在2000-2002年期间的投资决策进行了实证分析.
短句来源
     These results show that the traditional risk measures have important effect on investment funds' investment decisions; but whether CAPM are applied extensively by fund managers needs to be proved further.
     结果表明,在这3年中,基金的持股比重与股票的β值具有不显著的相关性,而与股票的标准差、偏度和峰度之间的相关性则比较显著,这表明了基于个股属性的传统风险测度对基金经理的投资决策起着重要作用,而CAPM理论是否得到基金经理的广泛运用还有待于进一步论证.
短句来源
  相似匹配句对
     The Risk Measures Based on Seminorm
     基于半范数的风险测度
短句来源
     The Analyse of Financial Risk Measures
     金融风险测度分析
短句来源
     X.
     传统X.
短句来源
     The conventional R.
     传统R.
短句来源
     ● Carry on systematic research to risk management method;
     分析了传统风险识别及应对方法。
短句来源
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This paper uses mean return, CAPM risk measures beta(β) and traditional risk measures (standard deviation, skew and kurtosis) to empirically study investment decisions of investment funds between 2000 and 2002. We find that the level of investment funds ownership is not significantly related to beta(β) and a little significantly related to standard deviation, skew and kurtosis of stock return. These results show that the traditional risk measures have important effect on investment funds' investment decisions;...

This paper uses mean return, CAPM risk measures beta(β) and traditional risk measures (standard deviation, skew and kurtosis) to empirically study investment decisions of investment funds between 2000 and 2002. We find that the level of investment funds ownership is not significantly related to beta(β) and a little significantly related to standard deviation, skew and kurtosis of stock return. These results show that the traditional risk measures have important effect on investment funds' investment decisions; but whether CAPM are applied extensively by fund managers needs to be proved further.

使用股票的平均收益、CAPM风险测度(β值)和传统风险测度(标准差、偏度和峰度)对我国证券投资基金在2000-2002年期间的投资决策进行了实证分析.结果表明,在这3年中,基金的持股比重与股票的β值具有不显著的相关性,而与股票的标准差、偏度和峰度之间的相关性则比较显著,这表明了基于个股属性的传统风险测度对基金经理的投资决策起着重要作用,而CAPM理论是否得到基金经理的广泛运用还有待于进一步论证.

Multifractal is a powerful tool to describe the complexity of fluctuations in financial markets, and the multifractal spectrum of financial price time series is a concrete and complete description of its complex characteristics. Take the multifractal spectrum of high frequency price time series of Shanghai Stock Exchange Composite index as example, a new market risk measure based on two main parameters of multifractal spectrum is constructed, which may make up for the shortcomings of traditional risk measure...

Multifractal is a powerful tool to describe the complexity of fluctuations in financial markets, and the multifractal spectrum of financial price time series is a concrete and complete description of its complex characteristics. Take the multifractal spectrum of high frequency price time series of Shanghai Stock Exchange Composite index as example, a new market risk measure based on two main parameters of multifractal spectrum is constructed, which may make up for the shortcomings of traditional risk measure in inefficient markets. Empirical study is carried out to test the efficientcy of the new risk measure, and its ability of predicting price movements is also studied.

多标度分形(multifractal)理论是一种刻画金融市场波动复杂性特征的有力工具,而金融价格时间序列的多标度分形谱(multifractal spectrum)则是对测度对象复杂性特征的一种具体和全面的描述.以上海证券交易所综合股价指数高频价格时间序列的多标度分形谱计算为例,建立了基于多标度分形谱两个主要参数的市场风险测度指标Rf,弥补了传统风险测度指标在非有效市场条件下的不足.通过对上证综指的实证研究验证了这一指标的有效性,并对其在价格波动预测方面的作用进行了初步的探讨和理论解释.

Traditionally,the definition of risk has its limitation.For this,the definition is to be improved.The portfolio selection is investigated.It is necessary to formulate a model of portfolio selection with transaction costs under semi-MAD.By transformation formula,the un-differentiable multi-objection programming problem can be converted to the linear programming problem.In reality,as more attention is paid to the risk,the measure used is practical.

针对传统风险测度存在的不足,将风险测度加以改进,研究证券组合投资问题.建立了以半绝对离差为风险测度、考虑交易费用的组合投资优化模型.通过变换将不可微的多目标规划问题转化为线性规划问题,考虑到现实中人们更侧重于关注风险,故所提出的方法是合理可行的.

 
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