基于Markowitz和VaR模型的股指期货风险预警

Stock Index Futures at Risk Monitor Based on Model Markowitz and Model Value at Risk

利用风险估价(Value at Risk,VaR)技术评估过程,考虑Markowitz均值方差模型,通过Markowitz模型投资组合的有效边界,得出风险值的计算区间,更符合实际的经济意义。为基金投资股指期货提供了有效地进行市场风险的监控手段。

Using Value at Risk（VaR） technique evaluation procedure, thinking over Markowitz Mean-variance Model, through its efficient frontier, the VaR can be calculated to accord with more realistic economic significance, providing an efficient method to monitor market risk in investing in Stock index futures.