Our studies indicate that the model based on the generalized hyperbolic distributions can present more realistic Value-at-Risk estimates.
实证结果表明，基于广义双曲线分布的方法得到了较好的预测结果。
2
In the traditional financial risk measurement model, the basic method is based on normal distribution, and then the variance-covariance method used to solve the portfolio valueatrisk.
在传统的金融风险度量模型中，基本都是基于正态分布，然后运用方差一协方差法来求解资产组合的风险价值。
3
On the basis of the classical mean-variance model, the article proposes the asset allocation model with value-at-risk constraint and transaction cost.