Research On The Rate Of Return And Risk Of Long-term Holding Risk Assets

In the fie ld of risk management, we tend to focus on the distribution of returnon assets. If the investor invests in a long-term risk assets, he should know that theaverage annual long-term investment returns and the corresponding variance, ratherthan simply knowing the distribution of short-term yields. Based on this, this paperfocuses on the long-term average yield of risk investment and the long-term riskchange. First we select the Shanghai Composite Index and Shenzhen CompositeIndex as the sample, using the normal distribution to fit with the nuclear densityfunction which is estimated by using the non-parametric estimation method. Andthis part is prepared for the following studies. Then this paper uses theoreticalmethods in probability theory, according to the nature of convolution and thetheorem of continuous random variable density function to derive the probabilitydensity function of the yield of long-term holding risk assets. Start research with thesituation of a holding period of two years, and then extended to the general case.Based on the general formula, we also discuss some theoretical results of theparticular distribution such as normal, lognormal distribution, etc. Finally, we usenumerical methods to get some results under some special distributions respective ly.To intuitive analysis, we draw the corresponding yie ld and variance curve. Wediscuss the influence on the long-term rate of return when changing thecharacteristics of short-term rate of return including the change of holding periodand other factors. We made further analysis on the long-term average rate of returnand the standard of return after we change these factors. We hope to providereference for investors when they made investment decisions and providequantifiable operational guidance, reducing their investment risk and increase returnon investment.