The Application of Mean-Variance Model in Risk Measurement

DOI

10.2991/icsshe-18.2018.125How to use a DOI?

Keywords

Mean-Variance Model, risk measurement, yield, uncertainty risk

Abstract

This paper applies the method of mathematical statistics based on the Markowitz Mean Variance Model to choose portfolio. The main purpose of the paper is to explore the application of the Mean-Variance Model in risk measurement, and use the Mean-Variance Model to select the investment assets to reduce the losses caused by the risks. Therefore, the formulas of mean and variance are deduced and discussed according to different types of securities assets, and the application of the basic Mean-Variance Model in the Chinese stock market is empirically analyzed. Finally, it is concluded that when investors invest securities assets in the financial market, they can use the mathematical model to conduct risk measurement analysis. The main contribution of the paper is to choose the variance or standard deviation to measure the size of the risk. This method is simple and clear, and can reflect the risk information precisely.

Copyright

© 2018, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Pei-Zhi Wang
AU  - Yu-Xin Zhao
AU  - Ling-Xi Chu
PY  - 2018/09
DA  - 2018/09
TI  - The Application of Mean-Variance Model in Risk Measurement
BT  - Proceedings of the 2018 4th International Conference on Social Science and Higher Education (ICSSHE 2018)
PB  - Atlantis Press
SN  - 2352-5398
UR  - https://doi.org/10.2991/icsshe-18.2018.125
DO  - 10.2991/icsshe-18.2018.125
ID  - Wang2018/09
ER  -