STUDY WVAR ALGORITHM AND WVAR APPLICATION ON INVESTMENT ASSEMBLE

摘要：

Based on MATLAB programming platform,this paper carried out the WVAR numerical solution according to the Simpson formula,meanwhile established a portfolio model based on WVAR.Study proves that when volatility of the stock market is flat,the risk characterized by WVAR on the U.S.Nasdaq index has more advantages over the VAR and TVAR.

关键词： WVAR Simpson numerical solution portfolio model

作者: CUI Ning SHI Xiangyu LIN Quan QI Yifei

作者单位: College of Science China University of Mining and Technology Xuzhoue,China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 288-290

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）