金融资产收益率尾概率估计研究

在对金融资产进行投资时,投资者所关注的问题往往是金融资产收益率发生大波动的概率,简称尾概率.本文利用大偏差定理对此概率如何进行估计进行深入研究.将收益率按其尾部的分布特征分成三类,分别对其进行研究,得到三种不同的估计公式.本文对收益率序列存在相关性、收益率是多元随机变量情况下的尾概率估计问题也进行了分析.

Study on Tail Probability Estimation of Financial Asset

When people invest the financial assets,the primary problem which investors pay attention to is often the large fluctuation probability of financial asset return,for short tail probability.By use of large deviation theorem,this paper researches deeply to how to estimate such probability.The asset returns are divided into three kinds according to the characteristics of the tail distribution.After studying each state respectively,we can get three kinds of the different probability estimate formulae.This paper analyses also the probability estimate problems under the conditions that return series is correlated and return is multivariate stochastic variable.