嵌入戰(zhàn)略因子的var投資風(fēng)險(xiǎn)模型改進(jìn)分析

1、哈爾濱工業(yè)大學(xué)管理學(xué)碩士學(xué)位論文AbstractVaRmethodfmanyyears‘developmenthasbecomingawidelyusedthemostpopularmethodfriskmanagementusedbyfinancialpractitioners.OverthepastfewyearsalthoughtheVaRhasbeenverywidelyusedthetheypracticehaveproved

2、thattheexistingVaRtheyisfarfromperfectSuchasthemultifariouscalculationmethodspikethicktail‘sdifficultaccuratelymeasurementsoon.Manyscholarshavecarriedouttargetedresearch.ButtheVaRtheystillhasanobviousshtcomingthatfewpeop

3、lehasresearched.SomescholarspointedoutthattheVaRmodelhasanobviousdisadvantagethatistheVaR‘sfecastffuturevolatilityisbasedonhisticaldatainthepastitcanbefoundffinancialmarketswithslowfluctuationButwhatwehavetostudyisvolati

4、lestockmarketwhethertheassumptionisreliablestillbeingexamined.thisresearchbasedontherelatedresearchatpresentaboutcpatestrategyinvestmentriskVaRmethodThroughthemeasureoftheadvantagesdisadvantagesofthecurrentpopularVaRmode

5、lwhichisusedtoanalysisingstockinvestmentriskreviewedthecurrentsituationoftheresearchWeputfwardVaRimprovemodelbasedonstrategicconsideration.Basedontheanalysisoftheexistingresearchwemadetodefinitionrecognitiontotheenterpri

6、sestrategicfactswestoutthreetypesofthetotal51strategicfactstheyareresourcebasedcompetencybasedenvironmentbasedweusedexpertquestionnairemethodtothemostimptant20strategicfactsthenweusethefuzzyanalytichierarchyprocess(AHP)c

7、oncludedtheweightofeachstrategicfact.Thisstudyedthelistedcompaniesofthepharmaceuticalindustryastheresearchobjectcollectsthevaluestrategicfactsin52pharmaceuticalcompanieslistedontheShanghaiStockExchangewefindouttheirstrat

8、egicfactsce.Introducedinfittingdistributionofstockreturnscollecting52companies‘returnontwostockmakingghdistribution‘sparameterestimatio.Wemakeregressionfittingofthestockyieldoftwoparameterestimatebasedonthestrategicfactc

9、oncludedthemodifieddistributionofghthengetthemodifiedVaRmodel.AtlasstweromlyedtwopharmaceuticalcompaniesverifiestheposteriofthemodifiedmodeltheresultsshowedthemodifiedVaRmodelcanbetterassessthestockinvestmentrisk.Thisres

10、earchstudytheroleofstrategicfactsinthestockinvestmentriskmedeeplyconcludedaneffectiveimprovementSVaRmodelcomparedtotheII哈爾濱工業(yè)大學(xué)管理學(xué)碩士學(xué)位論文目錄摘要................................................................................

11、........................................IABSTRACT..............................................................................................................II目錄.........................................................

12、............................................................IV第1章緒論..........................................................................................................61.1分析背景與問(wèn)題提出..................................

13、....................................................61.2分析目的和分析意義......................................................................................71.2.1分析目的...........................................................

14、.......................................71.2.2分析意義..................................................................................................81.3國(guó)內(nèi)外分析現(xiàn)狀..............................................................

15、................................91.3.1VaR方法分析現(xiàn)狀...................................................................................91.3.2企業(yè)戰(zhàn)略分析現(xiàn)狀............................................................................

16、.....121.3.3企業(yè)戰(zhàn)略與股票收益關(guān)系分析現(xiàn)狀.....................................................131.3.4分析現(xiàn)狀評(píng)述........................................................................................141.4分析內(nèi)容與方法...........................

17、.................................................................151.4.1分析內(nèi)容與框架....................................................................................151.4.2分析方法與分析工具.........................................

18、....................................17第2章相關(guān)的理論與方法選擇............................................................................182.1企業(yè)戰(zhàn)略因素界定與識(shí)別............................................................................1

19、82.1.1企業(yè)戰(zhàn)略因素的界定.............................................................................182.1.2基于資源基礎(chǔ)觀的戰(zhàn)略因素識(shí)別.........................................................182.1.3基于核心能力觀的戰(zhàn)略因素識(shí)別.............................

20、............................212.1.4基于環(huán)境觀的戰(zhàn)略因素識(shí)別.................................................................232.2VaR模型..................................................................................................

21、......252.2.1VaR模型的原理分析.............................................................................252.2.2VaR計(jì)算方法.........................................................................................252.3引入gh分布進(jìn)行股票收益

22、率的擬合.........................................................262.3.1選取gh分布的原因.............................................................................262.3.2gh分布基本概念...................................................

23、................................262.3.3參數(shù)估計(jì)................................................................................................282.4本章小結(jié)........................................................................

24、...............................29第3章企業(yè)戰(zhàn)略因素的篩選與度量.....................................................................303.1企業(yè)戰(zhàn)略因素的篩選.................................................................................303.1.1企

25、業(yè)戰(zhàn)略因素選擇的原則...................................................................303.1.2戰(zhàn)略因素選擇的方法...........................................................................313.1.3用德?tīng)柗品ㄟM(jìn)行戰(zhàn)略因素篩選................................

26、...........................313.2企業(yè)戰(zhàn)略因素的權(quán)重衡量.........................................................................333.2.1權(quán)重衡量方法選擇..............................................................................333.2.2利用模糊