主题：Risk Measures Based on First Four Moments and Resulting Trading Strategies
主讲人：庄额嘉助理教授武汉大学经济与管理学院
主持人：帅杰副教授中南财经政法大学文澜学院
时间：2015年9月11日（周五）下午2：30-4：00
地点：南湖校区文波楼204
主讲人简介：
庄额嘉，台湾大学财务金融学博士;主要研究方向为风险理论，金融计量，投资学
内容提要：
In this paper we propose a method to calculate the risk measures proposed by Aumann and Serrano (2008) and Huang, Tzeng, and Wang (2012), where the former is related to stochastic dominance, and the latter hinges on central dominance. This method enables us to utilize the information about mean, variance, skewness, and kurtosis of a distribution. We demonstrate the risk measure of Huang et al. (2012) provides sufficient information for the investment decision of all constant absolute risk averse investors in the traditional portfolio selection model. A trading strategy is then constructed with respect to this measure. Our empirical results show that this trading strategy outperforms buy-and-hold trading strategy during sample period from January 2001 to October 2009, and conclude that information of higher order moments are valuable for invest decisions.
