二级风险
Second Order Risk
摘要：
根据风险模型管理投资组合可能会使投资组合倾向于模型的弱点。结果，优化的投资组合获得了模型本身不确定性的下行风险，我们称之为“二阶风险”。“我们提出了一个风险衡量标准来解释这种偏见。研究真实的投资组合，在资产的资产和因子模型的背景下，表明二阶风险显着贡献的已实现波动率，并提出的措施准确地预测样本外的行为优化的投资组合。
英文摘要：
Managing a portfolio to a risk model can tilt the portfolio toward weaknesses of the model. As a result, the optimized portfolio acquires downside exposure to uncertainty in the model itself, what we call "second order risk." We propose a risk measure that accounts for this bias. Studies of real portfolios, in asset-by-asset and factor model contexts, demonstrate that second order risk contributes significantly to realized volatility, and that the proposed measure accurately forecasts the out-of-sample behavior of optimized portfolios.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
