Analysis and Evaluation of Dimension Method Risk of Stock Market
Binglin Li · Journal of Zhengzhou Institute of Aeronautical Industry Management · 2005
This paper makes a compare of current main six meathods of stock market′s risk measure:Markowitz′s medel of expectation-variance,Sharpe′s β theory,VaR method,rescaled range analysis,ARCH and Wang Ming-tao′s dimension theory.Then,it explains basic principle′s advantages and disadvntage of these methods.It thinks,if people want to foretell the risk of stock market,they must build up an index system.