VaR方法及其在股市风险分析中的应用初探

中国管理科学 ›› 2000, Vol. ›› Issue (3): 27-33.

VaR方法及其在股市风险分析中的应用初探

范英

中国科学院科技政策与管理科学研究所, 北京100080

收稿日期:2000-05-30 出版日期:2000-09-28 发布日期:2012-03-06

VaR Methodology and Its Application in Stock Market Risk Analysis

FAN Ying

Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100080, China

Received:2000-05-30 Online:2000-09-28 Published:2012-03-06

摘要/Abstract

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。

关键词: 投资风险, VaR方法, 置信水平

Abstract: 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.

Key words: investment risk, VaR methodology, confidence level

中图分类号:

F224

范英. VaR方法及其在股市风险分析中的应用初探[J]. 中国管理科学, 2000, (3): 27-33.

FAN Ying. VaR Methodology and Its Application in Stock Market Risk Analysis[J]. Chinese Journal of Management Science, 2000, (3): 27-33.

[1]	郝凡浩, 王铁男, 栗新. 嵌入战略因子的VaR模型改进研究[J]. 中国管理科学, 2015, 23(7): 35-44.
[2]	安起光, 王厚杰. 引入无风险证券的均值——VaR投资组合模型研究[J]. 中国管理科学, 2006, (2): 12-15.