| 基于非正态分布的投资组合VaR分解 |
 点此下载全文 |
| 引用本文：吴新林.基于非正态分布的投资组合VaR分解[J].经济数学,2011,(4):39-42 |
| 摘要点击次数: 1589 |
| 全文下载次数: 171 |
|
|
| 中文摘要:在阐述了投资组合边际VaR、成分VaR和增量VaR之间相互关系的基础上，给出了资产收益率服从非正态分布下投资组合分解的一种新方法，结果发现它与正态方法下投资组合分解的结论一致，并结合实证研究验证了结论的正确性. |
| 中文关键词:投资组合VaR 边际VaR 成分VaR 增量VaR g-h分布 |
| |
| The Decomposition of PortfolioVaR Based on Non-normal Distribution |
|
|
| Abstract:The mutual relationships among marginal VaR，component VaRand incremental VaR were given. A new method for decomposing the portfolio VaR based on the non-normal distribution was given, whose results agree with those obtained by decomposing the portfolioVaR under normal distribution. Finally, the validity was examined by empirical research. |
| keywords:Portfolio VaR Marginal VaR Component VaR Incremental VaR g-hdistribution |
| 查看全文 查看/发表评论 下载pdf阅读器 |
次