证券市场风险度量方法的分析与评价

Analysis and Evaluation of Dimension Method Risk of Stock Market

文章就国际、国内股票市场风险度量的主要方法,如Markowitz的均值—方差模型、β值理论、VaR理论、R/S分析法、ARCH理论及我国学者王明涛的度量理论进行了比较、分析。在此基础上,指出了各种度量方法的优势及存在的缺陷,认为要准确预测股票市场的风险,必须建立指标体系。

This paper makes a compare of current main six meathods of stock market′s risk measure:Markowitz′s medel of expectation-variance,Sharpe′s β theory,VaR method,rescaled range analysis,ARCH and Wang Ming-tao′s dimension theory.Then,it explains basic principle′s advantages and disadvntage of these methods.It thinks,if people want to foretell the risk of stock market,they must build up an index system.