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Chinese Journal of Management Science ›› 2005, Vol. ›› Issue (4): 7-12.

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A Study of Portfolio VaR Method Based on g-h Distribution

ZHU Hai-xia1,2, PAN Zhi-bin3   

  1. 1. Management School, Shanghai Jiao Tong University, Shanghai 200030, China;
    2. Shanghai Maritime University, Shanghai 200135, China;
    3. Department of Finance, College of Commevce, East-China Normal University, Shanghai 200062, China
  • Received:2004-03-11 Revised:2005-06-15 Online:2005-08-28 Published:2012-03-07

Abstract: According to the statistical properties of g-h distribution,three g-h VaR methods are presented in this paper based on the return,loss or extreme loss of the portfolio.These methods compound the merits of History Simulation method,Analytical method and the Extreme Theory method.Research on stock market shows that these g-h VaR methods gain an advantage over Delta-normal method.

Key words: portfolio, VaR, g-h distribution, g-h VaR

CLC Number: