风险证券投资组合均值——VaR模型分析

Var（Value at Risk,译为风险价值）是一种利用统计思想对市场风险进行估值的方法.通常的模型和方法要对收益的整个分布建模,需要将分布的中心和腰部数据都考虑进来,而Var只关心分布的尾部,尾部分布的建模具有一定的粗略性,这样就会造成模型的设定偏误,带来Var估计的不准确.讨论了尾部分布为标准正态分布的Var模型的解的存在性,在理论上给出了风险投资组合的最佳投资比例及风险的最小值.

Risk Portfolio Mean-VaR Model Analysis

Var is a thought of market risk using statistical method of valuation.The usual models and methods often build a model with the entire distribution of income,which needs to consider the distribution of centers and waist data,but Var only take into account the tail distribution of the measurement of quantitative and qualitative characteristics,therefore Var has been adopted by many financial and regulatory institutions.But the tail distribution of the model has some inaccuracies,this will form the set bias c...