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RESEARCH ON MEASURE OF PORTFOLIO INVESTMENT RISK
Shanghai International Investment Group Yan Huang PHD
Fudan University QifanWang PROFESSOR
Shanghai Bell Co. Jianguo Jia PHD
Address: School of Management, Fudan University, 200433, Shanghai , China
E-mail: gfwang@ fudan.edu.cn
ABSTRACT The complexity and indetermination of financial risk elements make risk
control more difficult and in real situations we can just use warning and prevention measures
to deal with these risks. The measure of risk is an important instrument to disclose it.
Securities investment also confronts many stochastic factors that can not be controlled.
Through comparing the different approaches to measure portfolio investment risk, this paper
presents the semi-beta model measuring systematic risks based on the semi-variance and
empirical study of this model is given with Chinese listed companies. Finally, we explore the
new measure methods of portfolio investment risk .
KEYWORDS: portfolio investment, risk measure, semi-beta[] complexity
