DocumentCode
3180587
Title
All-sided risk measure model and its application in the stock market of China
Author
Zhang Lin-lin
Author_Institution
Sch. of Econ. Manage., Henan Polytech. Univ., Jiaozuo, China
fYear
2011
fDate
8-10 Aug. 2011
Firstpage
1883
Lastpage
1886
Abstract
That is not complete to describe the risk of the stock market only with the downside-risk theory from the potential loss. For all the investors, the positive deviation not only is the excess profits but also has the influence to risk. So this paper proposed the all-sided risk measure model based on the combinative partial moment risk model and test it in the stock market of China.
Keywords
risk management; stock markets; China stock market; all-sided risk measure model; combinative partial moment risk model; downside-risk theory; Frequency modulation; Indexes; Loss measurement; Psychology; Stock markets; Time measurement; Yttrium; all-sided risk measure; combinative partial moment model; negative deviation; positive deviation;
fLanguage
English
Publisher
ieee
Conference_Titel
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location
Deng Leng
Print_ISBN
978-1-4577-0535-9
Type
conf
DOI
10.1109/AIMSEC.2011.6010945
Filename
6010945
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