本文關(guān)鍵詞：基于非對稱Laplace分布的VaR在投資組合中的應(yīng)用研究　出處：《武漢科技大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投資組合 VaR 非對稱Laplace分布

【摘要】：馬柯維茨提出的均值方差投資組合理論，奠定了投資定量化的研究基礎(chǔ)。在風(fēng)險度量方面，VaR被廣泛應(yīng)用在目前的研究之中，可以通過簡潔地估算出市場風(fēng)險帶給金融機(jī)構(gòu)的風(fēng)險水平，從而，及時地做出進(jìn)一步的預(yù)警措施。本文首先考慮到資產(chǎn)的收益率具有尖峰性、厚尾性以及有偏性等特征，通過對國內(nèi)外VaR模型現(xiàn)狀的分析和研究，對比了正態(tài)分布、混合的正態(tài)分布，t分布以及對稱的Laplace分布在VaR應(yīng)用中的優(yōu)缺點(diǎn)，根據(jù)計(jì)算數(shù)據(jù)的統(tǒng)計(jì)量，證實(shí)大多數(shù)資產(chǎn)的收益率分布都具有尖峰、厚尾等特征，Laplace分布可以更好的擬合具有尖峰性的資產(chǎn)收益率分布。其次，根據(jù)Laplace分布的位置參數(shù)作參照，并且代入示性函數(shù)到對稱的Laplace分布之中，得到了非對稱Laplace分布，接著分析并研究了非對稱Laplace分布的性質(zhì)，，利用大量的歷史數(shù)據(jù)和迭代法對非對稱Laplace的參數(shù)進(jìn)行極大似然估計(jì)，經(jīng)過數(shù)次后，得出參數(shù)值，可以得到非對稱Laplace的密度函數(shù)，并且同時根據(jù)參數(shù)，計(jì)算出單個資產(chǎn)的VaR，將單個資產(chǎn)的VaR計(jì)算，轉(zhuǎn)化為多個資產(chǎn)的VaR度量的同時，利用本文提出的非對稱Laplace分布的均值-VaR投資模型得到相應(yīng)的投資組合比例。最后，對基于非對稱Laplace分布的均值-VaR模型進(jìn)行驗(yàn)證，證實(shí)非對稱Laplace分布的均值-VaR在投資組合方面尤其是資產(chǎn)收益率符合尖峰、有偏性特征時，有著較好的應(yīng)用具有一定的實(shí)用價值。
[Abstract]:The mean-variance portfolio theory put forward by Markowitz has laid the foundation for the research of investment quantification, and VaR has been widely used in the research of risk measurement. We can estimate the risk level of the market risk to the financial institutions by succinctly, so as to make further early warning measures in time. Firstly, this paper considers that the return rate of assets has peak. By analyzing and studying the current situation of VaR model at home and abroad, the normal distribution and mixed normal distribution are compared. T distribution and symmetrical Laplace distribution in the application of VaR advantages and disadvantages, according to the statistics of the calculation data, it is confirmed that most of the asset yield distribution has the characteristics of peak, thick tail and so on. Laplace distribution can better fit the peak asset return distribution. Secondly, according to the location parameters of Laplace distribution as reference. The asymmetric Laplace distribution is obtained by inserting the representation function into the symmetric Laplace distribution, and then the properties of the asymmetric Laplace distribution are analyzed and studied. The parameters of asymmetric Laplace are estimated by using a large amount of historical data and iterative method. After several times, the density function of asymmetric Laplace can be obtained. At the same time, according to the parameters, the VaR of a single asset is calculated, and the VaR calculation of a single asset is transformed into the VaR measurement of multiple assets at the same time. Using the mean-VaR investment model of asymmetric Laplace distribution proposed in this paper, the corresponding portfolio ratio is obtained. Finally. To verify the mean-VaR model based on asymmetric Laplace distribution, it is proved that the mean value -VaR distribution of asymmetric Laplace distribution is in line with the peak in portfolio, especially the return on assets. When it has the characteristic of bias, it has some practical value for its better application.
【學(xué)位授予單位】：武漢科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.59;F224

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