The Research on Multiresolution Characteristics of Investment Profolio Value at Risk Based on Double Factor Pricing Model
Peng Xuan-hua · Shuxue de shijian yu renshi · 2010
In order to recognise the multi-resolution characteristics of the financial market investment risk and optimize investment profolio,the paper takes the capital market risk and exchange rate market risk as two factors of the double-fictor pricing model.Using the wavelet variance and the covariance unbiassed estimator,it has given multi-resolution computational method for the risk factor sensitivity.From this,it also obtains multi-resolution decomposition formulas for the investment profolio Value at Risk(VaR) and Marginal Value at Risk(MVaR).The resualt of the empirical analysis to Shanghai A share market supports the investment profolio VaR and MVaR rely on the investment horizon and the latent loss of the short term investment must be bigger than that of the long-term investment.Further analysis indicates Chinese Stock market has the multi-resolution risk characteristics,which is possibly a result of affects simutaneously the market system risk and the exchange rate risk as well as heterogeneous investment.The study also shows that the multi-resolution MVaR is one of important constraint conditions determining the solution for the multi-resolution investment profolio optimization model.