The Research Of The Mathematical Model Of The Stock Investment Risk

As an emerging market country,China has joined into WTO,with the constant deepening of the financial system's reform and the gradual increase of the degree of financial liberalization,the operating mode of the financial markets and financial institutions will align with the international financial system.And this will make the macro-and micro-financial risk of the financial systerm further increased,so,to defuse and guard against the financial risks has become the focus of the financial work in recent years.In this paper,we choose a part of the financial investment,the stock investing as an example,set forth several types of the risk management on the stock investing, especially give a deep analysis on the ways and methods of VaR and semi-variance, via summing-up the advanced experiences and linking to the reality of our country, established a set of the method named as "the best single chosen and the semi-variance portfolio optimization of the risk measurement methods" which is based on the methods of VaR and semi-variance,moreover,use the Securities and Exchange data from Shanghai and Shenzhen stock market verified it.Firstly,do the hypothesis testing of the normal distribution for the selected stocks,for the stocks which passed the hypothesis testing,using the VaR method to measure its single-stock risk,and then re-entering the semi-variance portfolio risk assessment.In the process of portfolio risk measure,followed by the number as P(P = 1,2,…)of portfolio investment of stocks, measuring the risk for each combination.In the results of the first step,there are 14 eligible through the best stock selection.And also,we found during the Semi-variance in portfolio risk measure that the value of portfolio risk minishing by the increasing of the number of the stocks,and when the number of combinations p = 8,the minishing speed of value of the combination risk slowing down,when p = 14,the changing of the value of the risk have been weak,and basicly to be stabilizing.The demonstration results shows that the best single chosen and the semi-variance portfolio optimization of the risk measurement methods make the methods of the VaR and the semi-variance portfolio optimization combined organicly.The characteristic of this method is that on the basic of the lowest stock risk of the single stock chosen, measuring the portfolio risk to the stock combination.This method effectively making up the shortage of the two methods,the best single chosen and the semi-variance portfolio optimization of the risk measurement methods is a convenient and practical method of the investment risk measurement.