Risk analysis of the investment portfolio based on the POT-VaR hybrid model

MaRDI QIDQ2987296zbMATHFDO

Authors Lijun Chai, Yongjun Tang

Publication date 17 May 2017

zbMATH Keywords

risk analysisinvestment portfolioPOT modelVaR model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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(5)

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• Study of stock index risk measures
• The mixture of risk measurement model based on portfolio investment
• Structural analysis of portfolio risk using beta impulse response functions

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