| 投资组合VaR的树形算法 |
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| 引用本文： | 孙富,花秋玲.投资组合VaR的树形算法[J].长春理工大学学报,2007,30(2):115-118. |
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| 作者姓名： | 孙富 花秋玲 |
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| 作者单位： | 呼伦贝尔学院,海拉尔,021008;长春理工大学,理学院,长春,130022 |
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| 摘 要： | 计算VaR的方法有很多种,例如分析方法、历史模拟法和MC模拟法,但是当资产组合有很多种时,计算量都相当大。本文在理论证明的基础上,给出了可以大大减少参数估计和计算量的投资组合VaR新算法--树形法,最后本文以深圳交易所八支股票的实例验证了树形法的有效性,并给出了树形图。
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| 关 键 词： | 投资组合 风险价值 树形法 |
| 文章编号： | 1672-9870（2007）02-0005-04 |
| 修稿时间： | 2007-01-15 |
The Tree-shaped Calculating Methods for the Investment Combination VaR |
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| SUN Fu,HUA Qiuling.The Tree-shaped Calculating Methods for the Investment Combination VaR[J].Journal of Changchun University of Science and Technology,2007,30(2):115-118. |
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| Authors: | SUN Fu HUA Qiuling |
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| Affiliation: | 1. Hulubeier College, Hailaer 021008; 2. School of Science, Changchun University of Science and Technology, Changchun 130022 |
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| Abstract: | There are many methods of calculating VaR, such as analysis method, history simulation and Monte, carlo simulation . However, it is very difficult when the number of investment combination is large. In this paper we give the new calculating method on the investment, which can greatly reduce the parameter and calculation on the basis of the theory proved - - the tree - shaped calculating methods . At last we can prove that this method is very efficient by a practical example of Shanghai Stock Exchange. |
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| Keywords: | investment combination risk value tree-shaped calculating method |
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