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

zbMATH Open1374.91140MaRDI QIDQ2987296FDOQ2987296

Authors: Lijun Chai, Yongjun Tang 

Publication date: 17 May 2017

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zbMATH Keywords

risk analysisinvestment portfolioPOT modelVaR model

Mathematics Subject Classification ID

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

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• The research on multi-resolution characteristics of investment portfolio value at risk based on a double factor pricing model
• Study of stock index risk measures
• Risk analysis of portfolio based on kernel density estimation-maximum likelihood method and Monte Carlo simulation
• Structural analysis of portfolio risk using beta impulse response functions
• The mixture of risk measurement model based on portfolio investment

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