證券投資風(fēng)險度量的新方法及其應(yīng)用.pdf

1、武漢科技大學(xué)碩士學(xué)位論文證券投資風(fēng)險度量的新方法及其應(yīng)用姓名：展會靜申請學(xué)位級別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：王志明20061030第U頁碩士學(xué)位論文武漢科技大學(xué)AbstraetSecuritiesinvestmentisoneofthefinanceinvestmentsinhighrisk，SOtheevaluationandmeasureoftheriskininvestingprocessbecamethestickingpoi

2、nt，andtheresearchofriskmeasurementisthehotspotinfinanceinvestresearchatalltimesMarkowitzmeanvariancemodelinaugurateanewperiodforquantifyofportfolioinvestmentriskInmean—variancemodel，theriskisdefinedastheuncertaintyofyiel

3、ds’fluctuant，SOwinandlossareallregardasriskMeanvarianceriskmeasurementcouldgetresulteasityintheoryHoweverastheresearchgoingdeeplyitisfoundthatthemeanvariancemodelnotonlyhasflawintheorybutalsodisagreeingwitlltherealsecuri

4、tybusinessFirstlyasindicatedbylotsofdatafromsecuritybusiness，yieldsvectorisnotalwaysinNormalDistribution。Secondly，inMarkowitzmodel，winandlossaretreatedasthesame，whichdisobeytheinvestor’SrealfeelingforriskForrepairingthed

5、rawbackofMarkowitzmeanvariantemodel，peoplehaveadvancedalotofotherinvestmentriskmeasurementtheoryandestimatingmethodsuchasSemivariance，Var，∥Everyinvestmentriskmeasuringmethodisbasedontheunderstandingofriskanddifferentunde

6、rstandingofriskcomes、vitlldifferentmeasuringmethodThistextisbasedonthe(1e印analysisforexistinginvestmentandsecurityinvestmentconceptthoughdeeplydiscussingonthecharacteristicsofriskthenadvancedamorecompletingdefinitionofin

7、vestmentrisk，thatisinvestmentriskincludeprobabilityofloss，thevolumeofloss，thechangeabilityoflossandtheriskbiasmodulusThevolumeoflossisthemostimportantpartinfourfacetsWeallknowthatinvestmentisakindofactivitywhichhasprefer

8、redfeeling，investorscomparedthewinandloss，thenmakedecisionsSoweimporttheriskbiasmodulus，linkedwiththeabovedefinitionofriskandbasingonMarkowitzmeanvariancemodel，thensetupanewindexofinvestmentriskmeasurement：，=09“2一(1a)r=奶

9、一(1印一)一(1一口)^，whichcontainsprobabilityofloss，thevolumeofloss，thechangeabilityoflossandtheriskbiasmodulusAndthenthemoreadvanced。ne：，=(at2)／(1刊r=等等，WealsosetupmeinvestingdecisionmakingmodelfortheseriskmeasurementFor口，there