| 一种基于VAR的上证180指数基金风险预测方法 |
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| 引用本文： | 李劲松.一种基于VAR的上证180指数基金风险预测方法[J].当代经济管理,2003,25(1):48-51. |
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| 作者姓名： | 李劲松 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 基金项目： | A Way of Prognostication of the Fund Risk by Using VAR of Shanghai 180 Index |
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| 摘 要： | 随着上证180指数的推出,打开了指数基金发展的空间,在我国尚未推出指数期货作为指数基金的风险控制工具的情况下,指数基金的风险预测能力显得尤其重要。本文基于VAR给出了一种简单实用的预测方法,并且通过实例对该方法的有效性与局限性作了说明。
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| 关 键 词： | VAR 上证180指数 风险 |
| 文章编号： | 1003-3920(2003)01-0048-04 |
A Way of Prognostication of the Fund Risk by Using VAR of Shanghai 180 Index |
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| LI,Jin-song.A Way of Prognostication of the Fund Risk by Using VAR of Shanghai 180 Index[J].Contemporary Economic Management,2003,25(1):48-51. |
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| Authors: | LI Jin-song |
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| Abstract: | With the appearance of Shanghai 180index,the in dex fund is developed.While in China index fu-tures is not used as an approach of controlling index risks.There fore,the predicting ability of index funds is very im portant.By using VAR,the article presents a simple but practical predicting approach.While its effi-ciency and limitations are also expounded by the ex-amples. |
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| Keywords: | VAR Shanghai 180index risk |
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