Some comments on risk
指出投资者风险难以用波动率衡量，建议参考决策理论，并说明分散投资虽能降低风险，但单个投资组合的风险需结合其他主要组合才能评估，同时可用元分析比较不同波动率指标的预测效果。
Abstract Investor risk is a complicated concept in practice and is not well captured by measures of volatility as is well understood by uncertainty theory. Rather than asking statisticians to attempt to measure risk, it may be better to listen to decision theorists, but their suggestions are not very practical. Diversification is clearly helpful in reducing risk but the risk level of one portfolio cannot be measured without knowing the risks of other major portfolios. A meta‐analysis can be used to compare alternative volatility measures in terms of their forecasting utility. Copyright © 2002 John Wiley & Sons, Ltd.