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Volume 14 Issue 4

Aug. 2001

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Article Contents

Journal of Southwest Jiaotong University > 2001 > 14(4): 433-436.

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.

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

TIANJun

Publish Date: 25 Aug 2001

Abstract

Thevalue一at一risk(VaR)modeldevelopedreeently15amathematiealmodeltoestimat。and eontrolfinaneialrisk.Thedisadva乓tagesoftraditionalmethodsarepointedout.TheVaRmethodfor porifolioriskestimation15proposed.IntheproPosedmethod，theVaRvalue15ealeulatedwith geometrieyieldthat15definedbylogarithmieeostratio.ThelimitationsofVaRmethodaroalso exPlieated.
- investmentmodel:risk,
- porifolio,
- VaRmethod,

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通讯作者: 陈斌, bchen63@163.com

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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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