The Analysis Of Portfolio Risk Based On Non-normal Distribution

The analysis of portfolio risk is a hot topic in the field of financial risk management recently. It is assumed that the return on assets follows the normal distribution in the traditional study of portfolio. But many empirical studies show that the lognormal model is not completely in accord with the properties of historic retrun data and the empirical distribution for the short-term historic retrun is a bit skewness and fat-tailedness. To solve the skewness and fat-tailedness of the retrun on assets, we analyze the portfolio risk and make the empirical studies on the stocks in the Chinese market based on the non-normal distribution in this paper. There are six chapters as follows:In the first chapter, we chiefly discuss the background of the topic,motivation and some improvements in domesic and overseas, introducing the definition about risk management.In the second chapter, we firstly introduce the background and the essence of VaR ,next, we chiefly discuss the basic idea of calculation,principles and methods for VaR and state that the key of calculating VaR is to decide the loss or profit distribution or the probabilistic density function; At last, we also talk about the application of VaR in the financial risk management and its virtues and disadvantages.The third chapter primarily analyzes the basic statistical index from the the point of view of volatility,normality test and fat-tailedness and so on .as a result, skewness and fat-tailedness exist in the return on stocks in china. The assumption that returns are normally distributed is not reasonable by empirical studies and the Shanghai stock market is more attractive than Shenzhen stock market to investors.The fourth chapter introduces a kind of modified Weibull distributions which Sornette et al.(2000b) presented. We make empirical studies for returns on portfolio of Shanghai and Shenzhen, empirical studies results show that the modified Weibull distribution can better depict the volatility of returns on portfolio of Shanghai and...