Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together...Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together with the three hypotheses of technological analysis, a novelty model of metering and evaluating the risk and return of stock investment is established. The major indicator of this model , risk-return ratio K, combines the characteristic indicators of risk and return. Regardless of the form of the risk-return probability density functions, this indicator K can always reflect the risk-return performances of the invested stocks clearly and accurately. How to use the model to make optimum investment and how to make portfolio combined with clustering analysis is also explained.展开更多
文摘Although widely used, both the Markowitz model and VAR (Value at Risk) model have some limitations in evaluating the risk and return of stock investment. By the analysis of the conceptions of risk and return, together with the three hypotheses of technological analysis, a novelty model of metering and evaluating the risk and return of stock investment is established. The major indicator of this model , risk-return ratio K, combines the characteristic indicators of risk and return. Regardless of the form of the risk-return probability density functions, this indicator K can always reflect the risk-return performances of the invested stocks clearly and accurately. How to use the model to make optimum investment and how to make portfolio combined with clustering analysis is also explained.
