根据极值-Ⅱ型分布的厚尾性质,结合当今金融市场收益分布的尖峰厚尾特征,提出一种具有尖峰厚尾的Laplace极值-Ⅱ型混合分布,并在此基础上建立了一种新的估计风险价值VaR(Value at Risk)的Laplace极值混合模型,通过对上证B股的实证模拟分...根据极值-Ⅱ型分布的厚尾性质,结合当今金融市场收益分布的尖峰厚尾特征,提出一种具有尖峰厚尾的Laplace极值-Ⅱ型混合分布,并在此基础上建立了一种新的估计风险价值VaR(Value at Risk)的Laplace极值混合模型,通过对上证B股的实证模拟分析,发现该模型对收益表现异常的金融序列的VaR估计具有较高的应用价值.展开更多
This paper puts forward Markowitz’s Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz’s Mean-Variance Model under the VaR constraint fit for China’s securities market, it presen...This paper puts forward Markowitz’s Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz’s Mean-Variance Model under the VaR constraint fit for China’s securities market, it presents the dynamic adjustment method of investor’s optimal securities investment portfolio. In the end, it gives out a practical analytical example in China’s securities market and research conclusions.展开更多
文摘根据极值-Ⅱ型分布的厚尾性质,结合当今金融市场收益分布的尖峰厚尾特征,提出一种具有尖峰厚尾的Laplace极值-Ⅱ型混合分布,并在此基础上建立了一种新的估计风险价值VaR(Value at Risk)的Laplace极值混合模型,通过对上证B股的实证模拟分析,发现该模型对收益表现异常的金融序列的VaR估计具有较高的应用价值.
文摘This paper puts forward Markowitz’s Mean-Variance Model under the VaR(Value at Risk) constraint. After analyzing Markowitz’s Mean-Variance Model under the VaR constraint fit for China’s securities market, it presents the dynamic adjustment method of investor’s optimal securities investment portfolio. In the end, it gives out a practical analytical example in China’s securities market and research conclusions.
