摘要翻译：
按照风险模型管理投资组合会使投资组合倾向于模型的弱点。结果，优化后的投资组合在模型本身的不确定性中获得了下行风险，我们称之为“二阶风险”。我们提出了一个风险度量来解释这种偏见。在逐项资产和因子模型的背景下，对实际投资组合的研究表明，二阶风险对已实现波动率有显著贡献，所提出的测度准确地预测了优化投资组合的样本外行为。
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英文标题：
《Second Order Risk》
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作者：
Peter G. Shepard
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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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.
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PDF链接：
https://arxiv.org/pdf/0908.2455