• ISSN 0258-2724
  • CN 51-1277/U
  • EI Compendex
  • Scopus
  • Indexed by Core Journals of China, Chinese S&T Journal Citation Reports
  • Chinese S&T Journal Citation Reports
  • Chinese Science Citation Database
Volume 14 Issue 4
Aug.  2001
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Article Contents
TIANJun. Value-at-RiSkMethodforPortfolioriskEStimation[J]. Journal of Southwest Jiaotong University, 2001, 14(4): 433-436.
Citation: TIANJun. Value-at-RiSkMethodforPortfolioriskEStimation[J]. Journal of Southwest Jiaotong University, 2001, 14(4): 433-436.

Value-at-RiSkMethodforPortfolioriskEStimation

  • Publish Date: 25 Aug 2001
  • Thevalue一at一risk(VaR)modeldevelopedreeently15amathematiealmodeltoestimat。and eontrolfinaneialrisk.Thedisadva乓tagesoftraditionalmethodsarepointedout.TheVaRmethodfor porifolioriskestimation15proposed.IntheproPosedmethod,theVaRvalue15ealeulatedwith geometrieyieldthat15definedbylogarithmieeostratio.ThelimitationsofVaRmethodaroalso exPlieated.

     

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      沈阳化工大学材料科学与工程学院 沈阳 110142

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