Title :
All-sided risk measure model and its application in the stock market of China
Author_Institution :
Sch. of Econ. Manage., Henan Polytech. Univ., Jiaozuo, China
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;
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
DOI :
10.1109/AIMSEC.2011.6010945
