Based on Monte Carlo simulation Investment portfolio VaR risk analysis

摘要：

This article introduces VaR ( Value at risk ) principle and the Monte Carlo simulation in investment portfolio risk analysis.This method enhanced investment portfolio risk measure precision and decision-making feasible.Monte Carlo simulation has the broad prospect in the financial risk management.

关键词： Monte Carlo simulation risk analysis

作者: ZHAO Weixu

作者单位: School of Economics and Management Zhongyuan University of Technology,Zhengzhou,China

会议类型: 国际会议

会议名称: 2011 3rd International Conference on Computer and Network Technology(ICCNT 2011)(2011第三届IEEE计算机与网络技术国际会议)

会议地点: 太原

会议语种:英文

页码: 86-88

在线出版日期: 2011-02-26（万方平台首次上网日期，不代表论文的发表时间）