| 证券投资组合风险管理的波动状态转移分析 |
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| 引用本文： | 吴泽福.证券投资组合风险管理的波动状态转移分析[J].价值工程,2009,28(9):137-142. |
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| 作者姓名： | 吴泽福 |
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| 作者单位： | 华侨大学工商管理学院,泉州,362000 |
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| 摘 要： | 运用马尔科夫区制转移模型对我国股票型开放式基金收益率波动进行了风险评估和短期预测。采用晨星评级净值收益率前10只股票型基金跨期四年共816日交易数据,进行风险价值计量;并将计量结果与市场贝塔系数模型进行比较分析。通过失败比例测试证实了波动状态转移风险控制模型的风险度量与控制能力显著优于市场贝塔系数模型,丰富与提升了资本资产定价理论的内涵,一定程度上提高了我国投资组合风险波动的控制、拟合和预测的精确性。
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| 关 键 词： | 股票型基金 波动状态转移 马尔可夫链 风险价值 |
To Analyse on hte Undular Shift in the Risks Managing of Stocks Investing Portfolio |
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| WU Zefu.To Analyse on hte Undular Shift in the Risks Managing of Stocks Investing Portfolio[J].Value Engineering,2009,28(9):137-142. |
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| Authors: | WU Zefu |
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| Institution: | School of Business and Administration;Huaqiao University;Qianzhou 362000;China |
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| Abstract: | Markov regime transit models are applied to forecast and assess the volatility risk of China's opening stock mutual funds' daily yield rate in this paper.We analyzed 816 daily trading data from 10 opening stock mutual funds issued to calculate risk values,and compare Markov regime transit model with JP Morgan risk matrix model on assessment precision of risk valuation.The results of comparison indicate that Markov regime transit model possesses better risk control capability than JP Morgan risk matrix model... |
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| Keywords: | fund of stock type volatility regime transit Markov Chain risk assessment |
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