The System of VaR Control and Its Application
Ronghua Luo · Shuxue de shijian yu renshi · 2007
Now,The VaR has been used as a new tool of risk-control in many kind of investments.The system of σ2-control,as a traditional tool of risk-control,is used in the applicaton of portfolio theory all along.Some researchers have used VaR in portfolio,but its risk-control has not slipped the leash of the σ2 discomposing.The system of VaR-control is set up based on the relative price.In the system,the risk of a investment(VaRP) can be classified to the risk of index(VaRI) and the risk of relative prices of stocks(VaRS).Furthermore,the basic application of the system in a portfolio is also introduced.