| 投资组合风险测算的风险价值方法 |
| |
| 引用本文： | 田军.投资组合风险测算的风险价值方法[J].西南交通大学学报,2001,36(4):433-436. |
| |
| 作者姓名： | 田军 |
| |
| 作者单位： | 郑州航空工业管理学院应用科学系 |
| |
| 摘 要： | 指出了传统方法求投资组合风险价值（VaR)的缺点，考虑用价格比的对数定义的几何收益率来计算投资组合VaR值，建立了投资组合风险VaR测算估计方法，并阐述了VaR方法的局限性。
|
| 关 键 词： | 投资模型 投资组合 VaR方法 风险价值 价格比 几何收益率 金融风险管理 |
| 文章编号： | 0258-2724(2001)04-0433-04 |
Value-at-Risk Method for Portfolio Risk Estimation |
| |
| TIAN Jun.Value-at-Risk Method for Portfolio Risk Estimation[J].Journal of Southwest Jiaotong University,2001,36(4):433-436. |
| |
| Authors: | TIAN Jun |
| |
| Abstract: | The value-at-risk (VaR) model developed recently is a mathematical model to estimate and control financial risk. The disadvantages of traditional methods are pointed out. The VaR method for portfolio risk estimation is proposed. In the proposed method, the VaR value is calculated with geometric yield that is defined by logarithmic cost ratio. The limitations of VaR method are also explicated. |
| |
| Keywords: | investment model risk portfolio VaR method |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
