分数布朗运动环境下投资组合的风险度量-概率论与数理统计专业论文.docx

广西师范大学硕士学位论文 广西师范大学硕士学位论文 胡向飞:分数布朗运动环境下技资组合的风险度量 胡向飞:分数布朗运动环境下技资组合的风险度量 Our main work are as follows: Chapter 1 is the introduction of the paper.This part provides the research back- ground ,current situation of investment portfolio under environment of fractional brownian motion and the basic theory of fractional brownian motion this paper is needed.At last ,give the thesis framework of the paper. Chapter 2 state the CVaR of one assert and the CVaR of investment portfolio un- der environment of fractional brownian motion.Firstly,provides the theory results of the two risk measurements.Secondly,we analysis the basic property of the two risk tools by simulation.Through the analysis ,we obtained the following results: when holding period and confidence level are unchanged,the CVaR of the one-assert be- come larger with the Hurst index gradually larger;when the Hurst index unchanged ,the CVaR become larger as the holding period growth;at the same time,we found that the CVaR of the investment portfolio became smaller with the holding period growth,this is reversely to the one-assert.At last,we proved the result by empirical analysis. Chapter 3 are the main result of the paper.we discussed the four ratio of risk measurement of investment portfolio under fractional brownian motion .The four ratio are Sharpe ratio,VaR ratio,STARR ratio and Rache ratio.Firstly,we give the theory results of the four ratios.Secondly,under different riskless interest rate ,we analysis the four ratios through empirical analysis.When holding period invari- ability ,The Sharpe ratio became smaller with the interest rate level growth;under the same interest rate level,the Sharpe ratio became greater with holding period growth.When riskless interest rate level and confidence level are unchanged,VaR ratio and STARR ratio are become greater with holding period growth;under the same holding period and riskless interest rate level,VaR ratio and STARR ratio be- come greater with confidence level reduced