Efficient frontier research on risk measure and investment portfolio considering double side risk preference of investor

The existing risk measure methods can not only reflex the risk feeling of investor to the profit positive fluctuation, but the corresponding optimal investment strategies or investment portfolio can not fully consistent with the real demand of investor. In order to compensate for this inadequate, this paper puts forward a new kind of risks measure method which puts investor´s different attitudes to the two-way fluctuations of investment profit into consideration and fully reflects the risk feeling of investor. Simultaneously, this paper puts forward to a optimize model for the investment portfolio with the new risk measure method and analyzes the efficient frontier of investment portfolio from different angles. The results indicate that the risk attitude of investor has distinct effect to the investment portfolio when consider the bilateral risk preference, and when the efficient frontier of investment portfolio exists the risk attitudes above have interactive influence.