Systematic Risk ∗
Systematic Risk ∗
复制标题
系统性风险*
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
Suying Liu
中科院分区：
文献类型：
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作者：
Ohad Kadan;Fangda Liu;Suying Liu
我们依靠Aumann-Shapley解决方案概念来提供系统性风险的一般度量，捕获资产对投资组合风险的贡献。我们的措施适用于广泛的风险措施，可能占高分布时刻，罕见的灾难，和其他风险属性。在使用“方差”衡量风险的特殊情况下，我们的衡量标准与传统的“贝塔”一致。然后，我们研究了一般均衡设置中，投资者交易的预期回报的风险，“风险”一词是广义的定义。我们提供了两个基金资金分离的充分条件，以及市场组合的有效性。最后，我们得出了一个一般版本的证券市场线，我们的新措施的系统性风险自然出现作为一个推广的“贝塔”。
We rely on the Aumann-Shapley solution concept to offer a general measure of systematic risk, capturing the contribution of an asset to the risk of a portfolio. Our measure applies to a wide class of risk measures, potentially accounting for high distribution moments, rare disasters, and other risk attributes. In the special case where risk is measured using “variance,”our measure coincides with the traditional “beta.”We then study a general equilibrium setting in which investors trade off expected return for risk, where the term “risk” is broadly defined. We provide suffi cient conditions for two-fund money separation, and for the effi ciency of the market portfolio. Finally, we derive a general version of the security market line in which our new measure of systematic risk emerges naturally as a generalization of “beta.”