动态投资组合中的VaR分析  

VaR Analysis In Dynamia Portfolio

作　　者：杨柳[1] 方志 

机构地区：[1]湘潭大学数学系,湖南湘潭411105 [2]湖南省津市一中,湖南津市415400

出　　处：《湘潭师范学院学报（自然科学版）》2004年第2期90-93,共4页Journal of Xiangtan Normal University (Natural Science Edition)

基　　金：湖南省教育厅资助项目 ( 0 3C45 3 )

摘　　要：VaR是学术和商业界一个重要的风险测量方法。近年来 ,学术领域中指出了VaR的一些严重不足为一是用不同模型求解存在不一致性 ;二是VaR不能解释此风险测量本身在贸易行为中的反馈效应。通过用模拟汇率模型来研究VaR方法 ,分析外汇交易者的动态行为 ,进一步研究风险测量对交易行为的影响。VaR has established itself as one of the key measures of risk in both academic literature and the business world. Recent academic research has highlighted some serious shortcomings of VaR, in both the inconsistency of results across models and the failure to account for feedback effects from risk management measures on trading behavior.This paper uses a simulated model of exchange rates to investigate VaR measurements,the dynamic behavior of foreign exchange traders and the effects of risk measures on trading behavior.

关 键 词：动态投资组合 VAR分析 GARCH 蒙特卡罗方法 

分 类 号：F830.59[经济管理—金融学] F224