证券投资1g函数风险度量方法应用研究

将1g函数风险理论引入到证券投资领域，提出适用于中国股票市场的1g函数风险度量方法。该方法将股票收益区间均分成若干子区间，计算收益率落在各子区间中的频数求1g函数风险值。同时选取上海证券交易所股票数据对度量方法进行实证检验。检验结果表明，1g函数风险值随区间密度的增加而增长，为使1g函数风险值被限定在固定范围内，文中引入调节因子使1g函数风险值标准化，标准化后的1g函数风险值在子区间数目达到320时趋于稳定。1g函数风险度量方法能有效评估股票风险。

Applications of Stock Risk Measure Method Based on lg Function in Securities Inuestment

In this paper,the lg function theory was introduced in securities investment,based on which a risk measure method suited to stock market of China was proposed.In the method,the investment income interval was divided into a number of subintervals on average.The lg function risk value was calculated by the frequency of the stork return that falls in the subinterval.The effectiveness of the lg function risk value method was testified by choosing a group of stock data of Shanghai Exchange Institution.It was shown that the lg function risk value increased with the rising interval density.To define it to a fixed range,a regulatory factor was introduced to make it standardized.The standardized lg function risk value was stabilized at a constant when the number of subinterval reached 320.The proposed lg function risk measure method was effective to evaluate the stock risk.