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以四只不同行业的热门股票为例,选用多元t分布拟合具有尖峰厚尾性的日收益率数据,运用均值—方差模型和最大化夏普比率找出其最优投资比例,计算最优投资组合在不同置信水平下的风险价值、期望损失和中位数损失.数据分析表明:期望损失和中位数损失均可以弥补风险价值的不足,且中位数损失比期望损失更稳健.利用三个尾部风险指标值可以为投资者控制风险提供多方位的参照,以达到防范风险减少损失的目的.
Taking the four hot stocks in different industries as an example, the multiple t-distribution was used to fit daily yield data with peak-tail-fatness. The optimal investment ratio was calculated by using the mean-variance model and the maximized Sharp ratio to calculate the optimal investment The combination of risk value, expected loss and median loss under different confidence levels.Data analysis shows that both the expected loss and the median loss can make up for the insufficiency of the VaR and the median loss is more stable than the expected loss.Using three A tail risk index value for investors to provide multi-directional control of risk, in order to achieve the purpose of preventing risks to reduce losses.