摘要
本文运用Va R即在险价值的概念,针对现实生活中的金融投资问题,运用历史数据模型和偏t正态分布模型对公司下一个收益周期的收益情况进行预测,并给出最优的投资金额。运用历史数据方法得出,在投资1000万元的前提下能以95%的置信度保证损失的数额不会超过多少9万元,并且若使一个周期内Va R>=10万元的可能性不大于5%,初始投资额最多应为1111.11万元。运用偏t正态分布模型得出,当投资1000万元时,可以保证亏损值在95%的置信区间内,不超过7.95万元;如果要求在一个周期内的损失超过10万元的可能性不大于5%,那么初始投资额最多应为1257.86万元。
Uses the VaR （Value at Risk） to solve the financial problem in our daily life. We use the historical data model and skewed distribution model to forecast the profit of the next financial period, and provide the best plan to invest. Use the historical data model can draw a conclusion that when the confidence is 95% and put 10 million. The lost no more than 90 thousand yuan. If we want to control the lost under 100 thousand yuan, the best plan is investing 11. 1111 million yuan. Use the skewed distribution model can draw a conclusion that when the confidence is 95% and put 10 million. The lost no more than 79.5 thousand yuan. If we want to control the lost under 100 thousand yuan, the best plan is investing 1257.86 million yuan.
出处
《科技视界》
2017年第22期55-56,共2页
Science & Technology Vision
关键词
金融投资
非参数检验
历史数据模拟法
VAR
Financial investment
Non- parametric test
Historical data model
Skewed distribution model
VaR
