The Application of Mean-Variance Model in Risk Measurement
- Pei-Zhi Wang, Yu-Xin Zhao, Ling-Xi Chu
- Corresponding Author
- Pei-Zhi Wang
Available Online September 2018.
- https://doi.org/10.2991/icsshe-18.2018.125How to use a DOI?
- Mean-Variance Model, risk measurement, yield, uncertainty risk
- 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.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
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 - 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 - https://doi.org/10.2991/icsshe-18.2018.125 ID - Wang2018/09 ER -