Empirical analysis on risk of security investment

DOI10.1007/S11766-009-1831-YMaRDI QIDQ846796zbMATH OpenOpenAlexFDO

Authors Peng An, Shenghong Li

Publication date 12 February 2010

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-009-1831-y

zbMATH Keywords

time series analysisMarkowitz mean-variance modelcapital asset pricing modelregressive analysissecurities market

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(4)

• Concentrated portfolio selection models based on historical data
• The research of risk-return relationship between stock markets based on semiparametric model
• Market truths: theory versus empirical simulations
• A review of models that attempt to measure risk

Describes a project that uses

Uses Software

• Matlab

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