以一般风险测度所具有的共性为突破口,通过引入三角函数,构造出了“S”形风险感受曲线簇.该方法有效地扩展了传统的风险测度构建方法,为进一步刻画复杂的非线性风险感受提供了新的手段和方法.最后,应用研究成果建立了新型风险感受下的均值-方差(M-V)模型,扩展了传统M-V模型的解释能力,进一步可解释投资者面对相同投资机会采取不同投资行为的经济现象.实证结果表明,不同风险感受类型下的投资行为与市场中的散户和机构投资者的投资行为相吻合.
This paper summarized the properties of general risk measures in common. Based on the new view-angle of risk exposure & risk perception, a family of S-shape curves was constructed by using trigonometric functions. The traditional research method on risk measures is expanded and complicated no-linear risk perception can be measured. Finally, the mean-variance model of S-shape risk perception and an empirical study were made. The results indicate that different risk perception between institutional and individual investors under the same investment chances has different investment behaviors.