稳定分布及其应用研究

On the Stable Distribution and Application

收益率的分布特征对于投资组合和风险管理理论具有重要意义。本文通过对上证指数进行全面系统研究,指出利用稳定分布能够更好地拟合我国股票市场的收益率,并且在稳定分布情况下,利用V aR和预期损失两个指标来度量风险。

For the portfolio and the risk management, it is very import to acknowledge the distribution of the return. On the basis of complete study, the thesis argues that the stable distribution fits the ShangHai Stock Index better. And also, the VaR and the expected shortfall can be used as the risk measurement.