| VaR方法的一种改进模型 |
| |
| 引用本文： | 岳瑞峰,邵伟文.VaR方法的一种改进模型[J].焦作工学院学报,2006(6). |
| |
| 作者姓名： | 岳瑞峰 邵伟文 |
| |
| 作者单位： | 北京林业大学 北京100083(岳瑞峰)，中国科学院国家科学图书馆 北京100080(邵伟文) |
| |
| 摘 要： | VaR方法度量了在一定置信水平下资产可能的最大损失,指出了投资组合所面临的风险程度,但VaR方法并没有指出在何种比例下配置资产可以使得投资组合的VaR值最小.针对此问题,在德尔塔正态方法和蒙特卡罗模拟方法的基础上,提出了搜索化德尔塔方法,并利用证券市场的真实数据,与德尔塔正态方法的结论进行了对比分析.结果表明,搜索化德尔塔方法能够确定最优的投资比例,在此比例下,投资组合的VaR值达到最优.搜索化德尔塔方法可以帮助投资者合理地配置资产.
|
| 关 键 词： | VaR方法 德尔塔正态方法 蒙特卡罗模拟 搜索化德尔塔方法 |
Improved Model of VaR |
| |
| YUE Rui-feng,SHAO Wei-wen.Improved Model of VaR[J].Journal of Jiaozuo Institute of Technology(Natural Science),2006(6). |
| |
| Authors: | YUE Rui-feng SHAO Wei-wen |
| |
| Affiliation: | YUE Rui-feng~1,SHAO Wei-wen~2 |
| |
| Abstract: | The method of VaR measurec the most loss of asset under a certain confidence level,and points out the risk that the investment portfolio faces,but it doesn't tell the rate under which the VaR value of investment portfolio is the least.To this problem,we post Delta-Search Method,on the basis of Delta-Normal Method and Monte Carlo Simulation Method,and apply the real data of security market to compare with the results of Delta-Normal Method.The results show that Delta-Search Method can identify the best investment rate.Under this rate,VaR value of investment portfolio is the best.Delta-Search Method can help investors to asset allocation appropriately. |
| |
| Keywords: | VaR Delta-Normal Method Monte Carlo Simulation Delta-Search Method |
| 本文献已被 CNKI 等数据库收录！ |
|
