Research On Asset With Strange Distribution Of Rate Of Return

In financial practice, besides the equity earnings, the investors also payclose attention to the loss caused by price fluctuations, which is related to thefinancial market risk measurement and management. Accurately characterizingthe distribution of return is the foundation of financial market risk measurementand management.The main purpose of this study is to build a new mathematical model of riskasset. The first is analyzing the feasibility of the research. We analyzed thefluctuations factors of normal revenue and extreme revenue, defined the extremerisk. At the same time we collected market data of281stocks from2004to the2013, finding the extreme risk of samples from the real financial market, got48times of extreme returns, then put forward the idea.The paper constructed two density function, central distribution densityfunction reflecting the general risk, and extreme distribution density functionreflecting extreme risk, then built a new mathematical model of risk assetcombining the above two risk，called strange distribution. First we used themathematical method to deduce the numerical characteristics of the strangedistribution, and tried to explain the investment meaning for the above formulas,then used the historical data to analyze the impact of extreme risk. The resultshows that the actual return of financial assets rate is lower than the normaldistribution of returns, and the real risk is higher than that of normal distribution.Then we computed the VaR value for asset with strange distribution of rateof return, analyzed the impact of the distribution parameter, and used markettrading data to calculate the VaR of normal distribution and strange distributionunder the different confidence. The results shows, at the same degree ofconfidence, in the tail of the distribution, the strange distribution of VaR issignificantly lower than that of normal distribution of the VaR, which suggestsinvestors face a greater real risk.