Title :
Study WVAR algorithm and WVAR application on investment assemble
Author :
Ning, Cui ; Xiangyu, Shi ; Quan, Lin ; Yifei, Qi
Author_Institution :
Coll. of Sci., China Univ. of Min. & Technol., Xuzhou, China
Abstract :
Based on MATLAB programming platform, this paper carried out the WVAR numerical solution according to the Simpson formula, meanwhile established a portfolio model based on WVAR. Study proves that when volatility of the stock market is flat, the risk characterized by WVAR on the U.S. Nasdaq index has more advantages over the VAR and TVAR.
Keywords :
investment; numerical analysis; risk management; stock markets; MATLAB programming platform; Simpson formula; U.S. Nasdaq index; WVAR algorithm; investment assemble; portfolio model; stock market volatility; Finance; Investments; Mathematical model; Numerical models; Optimization; Portfolios; Stock markets; Simpson; WVAR; numerical solution; portfolio model;
Conference_Titel :
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location :
Chongqing
Print_ISBN :
978-1-4244-6927-7
DOI :
10.1109/ICIFE.2010.5609302
