INVESTMENT PORTFOLIO ANALYSIS BASED ON VaR WITH NO SHORT SELLING AND EMPIRICAL STUDY
Xiao-Hui Guo · Journal of Beijing Technology and Business University · 2007
Briefly introduce the development status of the investment portfolio analysis skill.Then expatiate how to add VaR(Value at Risk)constraints to the traditional security portfolio,and under the condition of Chinese stock market does not allow short-selling,gain the securities investment portfolio with expected loss in using Tree Algorithm.Finally put forward some suggestions to the development of Chinese stock market.