A NEW MODEL OF RISK MEASURE BASED ON UTILITY ——UTILITY CONDITIONAL DRAWDOWN AT RISK

摘要

CDaR which is called conditional drawdown at risk is developed on the basis of CVaR.It is a kind of risk measurement model which is a combination of drawdown function and CVaR.Actually, for a given tolerance parameterα, CDaR is the mean of the worst (1-α)％ drawdowns.But in real markets, different drawdowns bring investors different psychological feelings.In order to make the risk measure model reflect the investors' psychological differences generated by different drawdowns, we introduce utility function into risk measure area to build a new risk measure model-utility conditional drawdown at risk.Furthermore, we prove that it is a reasonable risk measure model.