The Empirical Analysis Of Investment Risk

The Nearer in the last years, the concerning articles of the investment risk analysis just uses a kind of method , but this text carries on the synthesize to a few methods on the foundation of the cultural heritage of the past.VaR ,being a fashionable method, oppositing other methods , it has the advantage that a lot of other methods have no, this text not only analyze diffent methods' merit and shortcoming , but also passes the substantial evidence analysis to different methods.This text consists of four structures :First , cultural heritage review: the progress of risk measures methods and the portfolio theories. This is the point and foundations of this thesis, exactly in the review of these histories cultural heritage, the thesis drew to take the essence of people of the past study, held the risk to measure the total grain of method and the portfolio theories progress completely, and combine the model to put forward to prepare the work for the VAR from here and naturally.Second, the point of this paper:The portfolio model and investment policy method on the foundation of VAR model . This is the core of this thesis. In this part, the thesis puts forward the basic form of VaR and some basic properties of the relevant models, pointing out two points that VaR model supervio to Markowitz model:1, the efficiently sex and generality in solving the common hobby of investor;2, the simple judging in solving individual hobby of investor.The end is basic step of the general exploitation VAR combination model carrying on the investment decision. Third, substantial evidence analysis:The actual applied efficiency of different combination models. In this part, the thesis change the study point from theory to actuality .We take datas to analyze the stock marketusing the three different models, we then prove the conclusion of theory analysis.Fourth, the limit and meaning of the study. This is the summary and forward-looking of the thesis. After synopsizing the limit and meaning, the thesis introspected the apocalypse of VAR potfolio model to asset pricing problem of modern finance theory. Beyond all doubt, this will be the questional part.The basic conclusion of this text: Because of the abnormality property of return rate , VaR model is more efficient than Markowitz model;at the same time, Harlow model is also more efficient than Markowitz model. VaR is more efficient than Harlow model.