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Value at Risk (VaR) is a commonly statistical tool to measure market risk. In this paper, a mixture method of APGARCH-M model and EWMA algorithm is applied to measure VaR of a portfolio. Empirical study using three stock index of shanghai stock market shows the mixture method is advantageous and accurate to calculate VaR of a portfolio.
This paper studies the relationship between uncertainty and portfolio of household financial assets by empirical analysis. Our study aim is to provide households with more theoretical guidance and practice mode about portfolio of financial assets. In this paper, we regard Beijing households as investigative objects. Firstly, based on the Chow test, we find that uncertainty aroused by China' institution...
Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in studying financial portfoliopsilas risk. We investigate the relations between the dependence risk measure...
Investment is a continuous process, the portfolio is impossible to be constructed at one time, thus it needs to be adjusted and optimized at the right moment during the investment process. The thesis applies compounding & de-compound to the portfolio optimization, has designed the portfolio optimization project, and established a model which can optimize the portfolio continuously in the investment...
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