Riskiness於資產配置之應用

Abstract

在做資產配置時，市場風險的量測必然是財務投資者要注重的，量測的方法很多，如資產報酬率的標準差、VaR、CVaR，這些風險指標各有其優劣，而本文選擇的是Aumann 和 Serrano在2008年提出的Riskiness，因為Riskiness滿足一階及二階隨機優越單調性，對選擇資產有幫助，這是以往指標通常沒有的特性；此外，計算上若假設資產報酬率為常態分配，也能簡化計算，有實務上的參考價值。在常態假設下，本文用Riskiness作為風險指標來衡量投資組合，找出投資組合機會的效率前緣之後，再依投資者可接受的風險高低提供配置資產之投資組合建議。

For asset allocation, the measure of financial risk is definitely important. There are plenty of ways of measuring, such as the standard deviation, VaR, and CVaR, with their own advantages and disadvantages. In this paper, the index focused on is Riskiness introduced by Aumann and Serrano (2008). Because of its first- (second-) order monotonicity, it helps selecting assets, and this property is not usually owned by the previous indices. In addition, when assuming the rate of return to follow normal distribution, the computation of Riskiness is simplified and thus with practical use. Under the assumption of normal distribution, this paper will present Riskiness as an index of risk to evaluate portfolios, find efficient frontier of portfolio opportunities, and make it provide some suggestions of asset allocation with regard to risk levels accepted by investors.