| VaR在我国证券投资基金评价中的应用 |
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| 引用本文： | 孟海亮.VaR在我国证券投资基金评价中的应用[J].北京工业大学学报(社会科学版),2004,4(4):13-17. |
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| 作者姓名： | 孟海亮 |
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| 作者单位： | 邢台学院,工经系,河北,邢台,054001 |
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| 基金项目： | The Application of VaR in Appraising the Security Investment Fund of Our Country |
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| 摘 要： | 以我国证券市场为例,用实证的方法研究了内险值VaR(Value at Risk)在我国证券投资基金评价中的应用。首先介绍了VaR的定义和计算方法,以及我国证券市场和投资基金,然后选取适当的数据,对VaR方法在我国证券市场的应用进行了实证研究,最后,运用计算出的VaR值对我国的两只基金进行了评价。
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| 关 键 词： | VaR 投资基金 证券市场 |
| 文章编号： | 1671-0378(2004)04-0013-05 |
| 修稿时间： | 2004年3月22日 |
The Application of VaR in Appraising the Security Investment Fund of Our Country |
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| MENG Hai-liang.The Application of VaR in Appraising the Security Investment Fund of Our Country[J].Journal of Beijing Polytechnic University(Social Sciences Edition),2004,4(4):13-17. |
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| Authors: | MENG Hai-liang |
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| Institution: | MENG Hai-liangDepartment of Industry and Economics,College of Xing Tai,Xingtai Hebei 054001,China |
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| Abstract: | In this test, taking the security market of our country as example and using the demonstration research method , we have studied the application of VaR in appraising the security investment fund of our country . In the first, we have briefly introduced the basic conception and calculation method of VaR, and the security market and security investment fund of our country. Then we have selected suitable data and carried on the demonstration research for the application of VaR in the security market of our country. In the end, we have used the calculated VaR value to appraise the two security investment funds of our country. |
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| Keywords: | value at risk investment fund security market |
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