投资组合风险测算的风险价值方法

Value-at-Risk Method for Portfolio Risk Estimation

指出了传统方法求投资组合风险价值（ＶａＲ）的缺点，考虑用价格比的对数定义的几何收益率来计算投资组合ＶａＲ值，建立了投资组合风险ＶａＲ测算估计方法，并阐述了ＶａＲ方法的局限性。

The value-at-risk (VaR) model developed recently is a mathematical model to estimate and control financial risk. The disadvantages of traditional methods are pointed out. The VaR method for portfolio risk estimation is proposed. In the proposed method, the VaR value is calculated with geometric yield that is defined by logarithmic cost ratio. The limitations of VaR method are also explicated.