Markowitz Model Based On The VaR Rish Measure

In this paper, we introduced the VaR method of the credit risk into the riskmeasure of shares, and given the calculation formula to the stock value at VaR risk,and randomly selected five stocks from the Shanghai Stock Exchange and ShenzhenStock Exchange (from 2010.1 .4 to 2010.6.30), respectively, we established fiveGARCH models of the two exchanges on the stock's closing price. A large number ofempirical find that the residuals of GARCH model are subject to degrees of freedomin the standard 4 students t-distribution,under this condition,using the maximumlikelihood estimation and EVIEWS 6.0, we calculated the VaR risk value at theconfidence level of stocks 95% of value and compared the calculated risk valuesusing variance method.The result showed: in the investment of stock group VaR riskmeasurement method is more direct and practical than variance characterization ofrisk.We randomly selected five stocks from the Shanghai Stock Exchange andShenzhen Stock Exchange, in the portfolio expected rate of return in the portfolio andunder the premise of a certain degree of confidence, compared the classicalMarkowitz model (variance characterization of risk ) into the model with VaR riskmeasurement method,The results showed: The VaR risk measurement methods is usedto calculate the rate of return higher.