证券投资组合风险度量本科毕业论文.docVIP

毕 业 论 文 题 目： 证券投资组合风险度量 学 院： 数 理 学 院 专 业： 数学与应用数学 姓 名： 张 xx xx 学 号： xxxxxxxxxx 指导老师： xxxxxxxx 完成时间： 2013年5月 30 号  摘要 证券业是一个高风险的行业，证券投资中的风险一直备受关注。因此，给出证券组合风险度量及各种安全标准，是风险防范和控制的一个重要问题。本文讨论了证券组合的风险度量问题，特别是风险价值(VaR)这种较新的度量方法。文章中先介绍几种常见的度量方式，然后举例说明这些度量方式的用法，风险价值（VaR）Abstract Security trade is a profession with high risk, and the risk in portfolio investment is the problem that always gets peoples solicitude, so givingvarious safety criteria and measures of risk is the chief problem ofcontrolling and guaranteeing against risk Portfolio risk measurement issues were discussed in this paper, especially the value at risk (VaR) this is a new measurement method. Article first introduces several common measure ways, and then illustrate the measure of the usage, value at risk (VaR) in this paper mainly introduces, introduces the markowitzs mean variance model and contact the value at risk.. Portfolio problem is firstly introduced in this paper and the financial risk and risk management, and on this basis, discussed the main risk measurement methods: variance, half variance, the average absolute difference, the value at risk ((VaR), and focus on the latter and the average under normal circumstances - VaR efficient frontiers. This paper deeply studies the optimal investment decision making problems based on VaR, under a VaR constraint is given the portfolio optimization model. The model on the basis of Markowitz mean - variance model, joined the VaR constraint, guarantee the risk measure with financial institutions in our country existing investment choice method on the technology of consistency. In the presence of constraints are too complex, we give a geometric method, ingeniously solved the traditional Laganerge multiplier method cannot deal with the issue of the above model. Through the above