An New CRM Based on Perfection to the Risk Measure of Fishburn

WAN Shang-hai(Applied Mathematics & Physics Department,Anhui University of Technology & Science,Wuhu 241000,China)  

Coherent risk measures(CRM)are very important ones in financial risk management.lower partial moments are loss risk measures below the target return ratio.On the basis of the perfection to the risk measure of Fishburn by introducing new target return ratio,an new CRM is proposed making use of Fischer' risk measure based on one-sided moments,which accounts for investors' psychology.Finally,the new CRM is proved to be effective and reasonable with an example.

【Fund】： 安徽省教育厅自然科学资助(2005KJ067);; 教育部科学技术研究重点资助(205073)
【CateGory Index】： O211.67

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