摘要
本文讨论了度量投资风险的VaR方法的概念和计算方法 ,在股票价格随机游动的假设下计算了深圳股市在不同置信水平下的风险值 ,并与实际投资收益做了对比。在算例分析的基础上 ,对VaR方法在我国股票投资中的应用进行了初步探讨。
This paper discusses the concept and calculation method of VaR for measuring investment risk. Based on the random walk hypothesis of stock price, the VaRs of stock in Shenzhen market under different confidence level are investigated, and the comparisons with actual investment return are also presented. The application of VaR to stock investment in China is illustrated with an example.
出处
《中国管理科学》
CSSCI
2000年第3期26-32,共7页
Chinese Journal of Management Science
