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The Comparison and Empirical Research on Mean -CVaR and R-ratio Model in Risk Measurement

Author: ZhuXiaoFei
Tutor: XuYongJia
School: Guangdong College of Commerce
Course: Statistics
Keywords: Risk Measures Value at Risk Conditional Value at Risk R- ratio
CLC: F830
Type: Master's thesis
Year: 2011
Downloads: 77
Quote: 0
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Abstract


The three pillars of modern financial theory is the time value of money , asset pricing , and risk management . Modern risk management is more and more emphasis on quantitative analysis , a lot of mathematics, statistics , systems engineering , and even the theories and methods of physics are applied to the study of risk management , and look from the point of view of the financial management of market risk quantification , risk the core of the management of quantitative risk analysis and assessment , that is, a measure of risk . Raised from Markowitz 's portfolio theory , risk measures and asset portfolio construction has been an important issue for the attention of the financial sector . Theory and practice , people are more concerned about the tail risk prevention , risk measure VaR ( Value -at - Risk , or VaR ) method since its emergence in 1994 , it extensively in the field of financial and economic applications. Then researchers to use VaR alternative variance portfolio theory to measure risk , Mean-VaR efficient frontier research . However , when capital gains of non- normal conditions , VaR does not meet time can be added , the researchers proposed several amendments on VaR method . For example , Conditional Value -at - Risk ( or conditional value at risk ) ; especially by constructing a lower side of the tail is shorter , while longer on the side of the tail of the income distribution for the R- ratio model to solve portfolio optimization problems . This article focuses on how to build one as short as possible under the side of the tail , and for as long as possible on the side of the tail portfolio , that the loss of the opportunity to as little as possible , while the profit opportunities as much as possible portfolio also discussed the mean -CVaR model and compare the two , from the nature and characteristics of such portfolios .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory
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