CVaR风险度量模型在投资组合中的运用

风险价值(VaR)是近年来金融机构广泛运用的风险度量指标，条件风险价值(CVaR)是VaR的修正模型，也称为平均超额损失或尾部VaR，它比VaR具有更好的性质。在本中，我们将运用风险度量指标VaR和CVaR，提出一个新的最优投资组合模型。介绍了模型的算法，而且利用我国的股票市场进行了实证分析，验证了新模型的有效性，为制定合理的投资组合提供了一种新思路。     

应用极值理论计算VaR的一种方法

在险价值(value at risk，简称VaR)是度量市场风险的一种普遍使用的工具，也是金融风险管理中的基础工具。计算VaR有许多不同的方法，本考虑了数据间的相关性，通过部分重叠数据分组的方法来计算VaR，发现所得到的VaR更符合实际；另外，我们对分组大小作了研究，发现分组数据大小的幂律存在，并对恒生指数作了具体分析。由此得出计算VaR的合理的数据分组大小。     

基于加权支持向量机的VaR计算方法研究

针对统计学框架下传统VaR计算方法的不足，发展了基于加权支持向量机（W—SVM）的VaR计算新方法．为了在VaR模型中计入金融时间序列的记忆效应，采用最优市场因子作为支持向量机的加权模型．对2001—2009年上证综指的实证研究表明，基于W—SVM的VaR模型优于传统的VaR方法，在小样本、厚尾、非线性及有异常波动的市场条件下，各种置信度下的W—SVM方法均能取得较好的性能．     

极值理论在风险度量中的应用--基于上证180指数

精确度量风险是金融风险管理的关键问题。本引入广义帕雷托分布代替传统的正态分布等，精确描述金融收益的厚尾特征。并将基于广义帕雷托分布的VaR模型和其它模型方法，如GARCH(1，1)、GARCH(1，1)-t、历史模拟法、方差-协方差方法，进行比较分析。实证研究表明，基于广义帕雷托分布的VaR模型比传统的模型方法更适合厚尾分布高分位点的预测，并且其预测结果比较稳定。这使得基于广义帕雷托分布的VaR模型成为VaR度量方法中最稳健的方法之一。     

VaR约束下均值-方差模型在基金资产配置的应用

随着我国开放式基金的迅猛发展以及证券市场的波动，如何识别和控制基金风险这一问题越显重要。VaR模型是一种有效的风险计量和管理工具，本文刻划VaR约束下均值-方差模型及其优化模型，并运用基于VaR约束下的均值——方差模型，定量地分析投资基金的投资组合收益和风险，提出开放式基金最优资产配置，使投资组合收益最大。     

混合ARCH模型及其应用

本文利用可以拟合尖峰、厚尾、有偏序列的混合ARCH模型计算VaR,给出了VaR的数值算法,并用上证A指的实际数据对基于混合ARCH模型的VaR做了实证分析,显著提高了VaR度量风险的有效性.     

基于相对VaR的信用担保两期定价模型

基于风险价值(VaR)计量模型的信用担保定价方法包括绝对VaR和相对VaR两种方法.对于贷款期限一年以上的风险衡量,相对VaR比绝对VaR更加准确和接近现实.针对现有研究中基于绝对 VaR的只考虑原债务期的信用担保风险计量模型的缺陷,本文采用相对VaR方法,建立了既考虑企业对银行的原债务期风险,又考虑企业对担保机构的债务展期风险的信用担保两期定价模型,从而使基于VaR模型的信用担保定价方法更加科学合理.     

APARCH 模型在证券投资风险分析中的应用

本首先描述金融时间序列的一般特性，从收益率的波动性与分布两方面进行考虑，建立起计算时变风险值的VaR—APARCH模型，并应用VaR—APARCH模型在多种分布情形下测算了上证综合指数的风险，结果表明基于GED分布的VaR—APARCH模型能够较好地刻画高频时间序列的尖峰肥尾性及杠杆效应等特性。     

Copula界在多元VaR中的应用

首先介绍了多元随机变量和的边界,以及由此导出的VaR边界,然后全面总结了有关Copula下界的公式,而Copula下界及其对偶函数分别构成计算VaR边界的依据.最后根据VaR边界的数值算法,针对不同的Copula下界,分多种情景详细分析了VaR的边界范围.关于上证指数和深成指数收益率序列的实证分析发现.Spearman相关系数和正象限相依对VaR界的收窄作用最强.     

VaR理论及其应用研究

VaR理论是目前国际上风险评价的主流方法。引入VaR理论研究我国的股票市场 ,可以为投资者控制投资风险提供新的参考指标。本文利用VaR理论对我国深、沪股票市场进行了实证分析研究 ,发现VaR理论在我国股票市场的风险评价中也有很好的适用性     

Estimation of the number of components of finite mixtures of multivariate distributions

An estimator of the number of components of a finite mixture ofk-dimensional distributions is given on the basis of a one-dimensional independent random sample obtained by a transformation of ak-dimensional independent random sample. A consistency of the estimator is shown. Some simulation results are given in a case of finite mixtures of two-dimensional normal distributions.     

Galois Structure of K-Groups of Rings of Integers

N/Kbe a Galois extension of number fields with finite Galois group G.We describe a new approach for constructing invariants of the G-module structure of the K groups of the ring of integers of N in the Grothendieck group of finitely generated projective Z[G]modules. In various cases we can relate these classes, and their function field counterparts, to the root number class of Fröhlich and Cassou-Noguès.     

Eigenvector p-Bases of Rings of Constants of Derivations

Let A be a UFD of characteristic p > 0, let 𝒵 be a set of some eigenvectors of a derivation of A. We prove, under some additional assumptions, a necessary and sufficient condition for 𝒵 to be a p-basis of the minimal ring of constants containing 𝒵. The main preparatory result is the unique decomposition theorem with respect to a factor from a given subalgebra containing A^p.     

有资格限制的指派问题的求解方法

在实际的指派工作中，常会遇到某个人有没有资格去承担某项工作的问题，因此，本建立了有资格限制的指派问题的数学模型。在此数学模型中，将效益矩阵转化为判定矩阵，由此给出了判定此种指派问题是否有解的方法；在有解的情况下，进一步将效益矩阵转化为求解矩阵，从而将有资格限制的指派问题化为传统的指派问题来求解。最后给出了一个数值例子来说明这样的处理方法是有效的。     

On Sums of Coefficients of Products of Polynomials

We study the nilpotency of the sums of all coefficients of some sorts of products of polynomials over reversible, IFP, and NI rings, and introduce an SCN ring as a generalization. We characterize SCN rings in relation with related ring properties, and also provide several useful properties and ring extensions of SCN rings.     

Convergence of sequences of sets of associated primes

It is a well-known result of M. Brodmann that if is an ideal of a commutative Noetherian ring , then the set of associated primes of the -th power of is constant for all large . This paper is concerned with the following question: given a prime ideal of which is known to be in for all large integers , can one identify a term of the sequence beyond which will subsequently be an ever-present? This paper presents some results about convergence of sequences of sets of associated primes of graded components of finitely generated graded modules over a standard positively graded commutative Noetherian ring; those results are then applied to the above question.

     

Rates of Convergence of Means of Euclidean Functionals

Let L be the Euclidean functional with p-th power-weighted edges. Examples include the sum of the p-th power-weighted lengths of the edges in minimal spanning trees, traveling salesman tours, and minimal matchings. Motivated by the works of Steele, Redmond and Yukich (Ann. Appl. Probab. 4, 1057–1073, 1994, Stoch. Process. Appl. 61, 289–304, 1996) have shown that for n i.i.d. sample points {X ₁,…,X _n } from [0,1] ^d , L({X ₁,…,X _n })/n ^(d−p)/d converges a.s. to a finite constant. Here we bound the rate of convergence of EL({X ₁,…,X _n })/n ^(d−p)/d . Y. Koo supported by the BK21 project of the Department of Mathematics, Sungkyunkwan University. S. Lee supported by the BK21 project of the Department of Mathematics, Yonsei University.     

图表示范畴的两个子范畴

引进图表示范畴的两个子范畴,研究它们的同调性质。     

Asymptotics of families of solutions of nonlinear difference equations

One method to determine the asymptotics of particular solutions of a difference equation is by solving an associated asymptotic functional equation. Here we study the behaviour of the solutions in an asymptotic neighbourhood of such individual solutions. We identify several types of attraction and repulsion, which range from almost orthogonality to almost parallelness. Necessary and sufficient conditions for these types of behaviour are given.