一类公理化资本分配法和广义加权分配法的应用.pdfVIP

华东师范大学学报(自然科学版) No.6 第 6 期 2010 年 11 月 Journalof 巴~ Çhina Normal University (Natural Scíence) Nov.2010 Article ID: 100也5641(2010)06-0146- 10 Applic(itions ofaxiomatic capital allocation and generalized weighted allocation HU Feng-xia , YAO Ding才un (School 01 Fínance and Stαtístics， East Chína Normal Uníversíty, Shαnghaí 200241 , Chínα) Abstract: Applications of two kinds of capital allocation principles were studied: one was axiomatic allocation which had been known , and the other w;甜 generalized weighted allo- cation. Firstly, several known risk meωures were listed. Based on a axiomatic method , allocation formula启 with respect to these risk measures were given. Then in view of a spe- cific numerical model , its allocation results were calculated. Secondly,generalized weighted allocation , which was an extension of weighted allocation , was considered. A method for comparing the amounts of generalized weighted capital allocations under two different ag- gregate losses , which stems from diversi岛1ing property, was mainly discussed. And some special example日 were given. Key words: capital allocationj risk measurej directional derivative; conditional ex- pectation CLC number: 0211 Document code: A …费公现化资本分自己法和广义加极分配泄的应用 胡风筒， 姚定俊 (华东师施大学金融与统计学院，上海 200241) 摘要:研究了两种资本分配法的若干应用:一种是已知的公理化法，另…种愚广义加权法. 先列出了几种常见的风险测度，运用公理化分配法，给出了关于这些风险测度的分配公式.并 且就一个具体的模型，计算了它的分配结果.其次将巳知的:1m权分配法扩展别广义加权分配讼， 主要讨论了广义加权分配法在两个不同总风险F分配蠢的比较方法，此方法源于资本分配的一 个必备要求t 单个风险的资本分配最不超过其原有风险资本，最眉给出了具体特例. 关键词:资本分配; 风险测度; 方向导数; 条件期摞 收稿日期: 2009- 12 基金项目:国家自然科学基金; 国家重点基础研究发展计划(973计划)(2007CB814904)j 新世纪优秀人才