Chinese Journal of Management Science ›› 2022, Vol. 30 ›› Issue (5): 31-40.doi: 10.16381/j.cnki.issn1003-207x.2019.1681
• Articles • Previous Articles Next Articles
HUANG Jin-bo1, WU Li-li2, YOU Yi-ling1
Received:
2019-10-24
Revised:
2020-03-11
Online:
2022-05-20
Published:
2022-05-28
Contact:
黄金波
E-mail:yugen2001@163.com
CLC Number:
HUANG Jin-bo, WU Li-li, YOU Yi-ling. Mean-VaR Model Based on the Asymmetric Laplace Distribution[J]. Chinese Journal of Management Science, 2022, 30(5): 31-40.
[1] Campbell R, Huisman R, Koedijk K. Optimal portfolio selection in a Value-at-Risk framework[J]. Journal of Banking & Finance, 2001, 25(9): 1789-1804. [2] 黄金波, 李仲飞, 丁杰. 基于非参数核估计方法的均值-VaR模型[J]. 中国管理科学, 2017, 25(5): 1-10.Huang Jinbo, Li Zhongfei, Ding Jie. A mean-VaR portfolio selection model based on nonparametric kernel estimation method [J]. Chinese Journal of Management Science, 2017, 25(5): 1-10. [3] Basak S, Shapiro A. Value-at-risk-based risk management: Optimal policies and asset prices[J]. The Review of Financial Studies, 2001, 14(2): 371-405. [4] Alexander G J, Baptista A M. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis[J]. Journal of Economic Dynamics and Control, 2002, 26(7-8): 1159-1193. [5] Alexander G J, Baptista A M. A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model[J]. Management Science, 2004, 50(9): 1261-1273. [6] Cont R. Empirical properties of asset returns: Stylized facts and statistical issues[J]. Quantitative Finance, 2001, 1(2): 223-236. [7] 蒋春福, 李善民, 梁四安. 中国股市收益率分布特征的实证研究[J]. 数理统计与管理, 2007, 6(4): 710-717.Jiang Chunfu, Li Shanmin, Liang Sian. Empirical investigation of distribution feature of return in China stock market [J]. Journal of Applied Statistics and Management, 2007, 6(4): 710-717. [8] 刘攀, 周若媚. AEPD, AST和ALD分布下金融资产收益率典型事实描述与VaR度量[J]. 中国管理科学, 2015, 23(2):21-28.Liu Pan, Zhou Ruomei. Description of the typical characteristics of financial asset’s yield distribution and VaR models based on AEPD、AST and ALD distribution [J]. Chinese Journal of Management Science, 2015, 23(2):21-28. [9] Kotz S, Kozubowski T, Podgorski K. The Laplace distribution and generalizations: A revisit with applications to communications, economics, engineering, and finance[M]. Springer Science & Business Media, 2012. [10] Zhao Shangmei, Lu Qing, Han Liyan, et al. A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution[J]. Annals of Operations Research, 2015, 226(1): 727-739. [11] Kozubowski T J, Podgórski K. Asymmetric Laplace laws and modeling financial data[J]. Mathematical and Computer Modelling, 2001, 34(9): 1003-1021. [12] 史敏, 汪寿阳, 徐山鹰. 修正的Sharpe指数及其在基金业绩评价中的应用[J]. 系统工程理论与实践, 2006, 26(7): 1-10.Shi Min, Wang Shouyang, Xu Shanying. Revised sharpe index for the performance evaluation of securities investment funds [J]. Systems Engineering-Theory & Practice, 2006, 26(7): 1-10. [13] Trindade A A, Zhu Yun. Approximating the distributions of estimators of financial risk under an asymmetric Laplace law[J]. Computational Statistics &Data Analysis, 2007, 51(7): 3433-3447. [14] Chen Qian, Gerlach R, Lu Zudi. Bayesian Value-at-Risk and expected shortfall forecasting via the asymmetric Laplace distribution[J]. Computational Statistics & Data Analysis, 2012, 56(11): 3498-3516. [15] Gerlach R, Lu Zudi, Huang Hai. Exponentially Smoothing the Skewed Laplace Distribution for Value-at-Risk Forecasting[J]. Journal of Forecasting, 2013, 32(6): 534-550. [16] Taylor J W. Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric Laplace distribution[J]. Journal of Business & Economic Statistics, 2019, 37(1): 121-133. [17] 李孝华, 宋敏. 基于AEPD分布和ALD分布的VaR模型[J]. 数量经济技术经济研究, 2013, 30(1): 135-149.Li Xiaohua, Song Min. VaR models based on AEPD and ALD [J]. The Journal of Quantitative & Technical Economics, 2013, 30(1): 135-149. [18] 杜红军, 王宗军. 基于Asymmetric Laplace分布的金融风险度量[J]. 中国管理科学, 2013, 21(4): 1-7.Du Hongjun, Wang Zongjun. Financial risk measurement based on Asymmetric Laplace distribution [J]. Chinese Journal of Management Science, 2013, 21(4): 1-7. [19] Jorion P. Value at risk: The new benchmark for managing financial risk[M]. New York: McGraw-Hill, 2007. [20] Markowitz H. Portfolio selection [J]. The Journal of Finance, 1952, 7(1): 77-91. [21] Huang Chifu, Litzenberger R H. Foundations for financial economics[M]. Amsterdam: North-Holland, 1988. [22] 余乐安, 查锐, 贺凯健,等. 国际油价与中美股价的相依关系研究——基于不同行业数据的分析 [J]. 中国管理科学, 2018, 26(11): 74-82.Yu Lean, Cha Rui, He Kaijianet al. The analysis of dependence relationship between oil and stock prices:Evidence from China and American industrial sector indices [J]. Chinese Journal of Management Science, 2018, 26(11): 74-82. [23] 杨亮, 孟生旺. 准备金评估的贝叶斯分层分位回归模型[J]. 系统工程学报, 2019, 34(5): 672-682.Yang Liang, Meng Shengwang. Assessment of outstanding reserving based on bayesian hierarchical quantile regression [J]. Journal of Systems Engineering, 2019, 34(5): 672-682. [24] Huang Jinbo, Li Yong, Yao Haixiang. Index tracking model, downside risk and non-parametric kernel estimation[J]. Journal of Economic Dynamics and Control, 2018, 92(7): 103-128. |
[1] | Sicong Cheng,Tianyi Wang. Overnight Information and Option Pricing Model [J]. Chinese Journal of Management Science, 2024, 32(9): 1-10. |
[2] | Xinyu Wu,Haibin Xie,Chaoqun Ma. Economic Policy Uncertainty and Renminbi Exchange Rate Volatility: Evidence from CARR-MIDAS Model [J]. Chinese Journal of Management Science, 2024, 32(8): 1-14. |
[3] | Xiaojian Yu,Guopeng Liu,Jianlin Liu,Weilin Xiao. Stock Index Prediction Based on LSTM Network and Text Sentiment Analysis [J]. Chinese Journal of Management Science, 2024, 32(8): 25-35. |
[4] | Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor [J]. Chinese Journal of Management Science, 2024, 32(8): 50-60. |
[5] | Yi Cai,Zhenpeng Tang,Junchuang Wu,Xiaoxu Du,Kaijie Chen. Research on the Application of GWO-SVR Algorithm in the Prediction of Reverse Mixed Data in Stock Market and Investment Strategy [J]. Chinese Journal of Management Science, 2024, 32(5): 73-80. |
[6] | Xuetong Zhang,Weiguo Zhang,Chao Wang. Tail Risks in Developed and Emerging Markets——Test of Spillover, Contagion and Contagion Determinants [J]. Chinese Journal of Management Science, 2024, 32(4): 14-25. |
[7] | Haiyuan Yin,Wenjuan Kou. Investor Sentiment Based on Naive Bayes Method and Its Impact on Stock Idiosyncratic Risk [J]. Chinese Journal of Management Science, 2024, 32(4): 38-47. |
[8] | Xinyu Wu,Xiaoqing Jiang,Xindan Li,Chaoqun Ma. The Pricing of SSE 50 ETF Options with Realized EGARCH-FHS Model [J]. Chinese Journal of Management Science, 2024, 32(3): 105-115. |
[9] | Qianqian Feng,Xiaolei Sun,Jun Hao. Dynamic Ensemble Time Series Forecasting Model Based on Regime-switching Regression [J]. Chinese Journal of Management Science, 2024, 32(2): 307-314. |
[10] | Jiliang Sheng,Yi Huang,Juchao Li. Research on the Correlation Between Industry Risk and Industry Network Structure in China [J]. Chinese Journal of Management Science, 2024, 32(2): 199-209. |
[11] | Lan Bai,Yu Wei. Information Spillovers between Investor's Public Health Emergency Attention and Industrial Stocks: Empirical Evidence from TVP-VAR Model [J]. Chinese Journal of Management Science, 2024, 32(1): 54-64. |
[12] | Bin MENG,Rong-wen-jun LIAN,Cong SUI,Hai-bo KUANG. Do Major Events Affect the Stability of Shipping Market Spillover and Transmission? [J]. Chinese Journal of Management Science, 2023, 31(11): 46-57. |
[13] | Ming-tao WANG,Qian LI. Does Margin Trading System Reduce the Degree of Information Asymmetry in Stock Trading? ————Evidence from the Chinese Stock Market [J]. Chinese Journal of Management Science, 2023, 31(10): 1-11. |
[14] | Yan-lu GUO,Gong-li LUO,Gui-sheng HOU,Xiao-tong WANG. “Good Shopping Decisions” and “Bad Shopping Decisions”: Research on the Quality Issues and Governance of Internet Celebrity Live Marketing [J]. Chinese Journal of Management Science, 2023, 31(10): 162-174. |
[15] | Yi FENG,Du-juan WANG,Zhi-neng HU,Shao-ze CUI. Prediction Method for Gastric Cancer Survivability Based on an Improved LightGBM Ensemble Model [J]. Chinese Journal of Management Science, 2023, 31(10): 234-244. |
Viewed | ||||||
Full text |
|
|||||
Abstract |
|
|||||
|