Abstract
This paper introduces the g-h distribution and studies its properties. As can be seen from its properties, it can fit the skewness and fat-tailedness well. Then, the Portfolio VaR is calculated based on the g-h distribution. Empirical studies show that the g-h distribution has advantages over traditional normal distributions. Therefore, the g-h distribution can better fit the return of portfolio in Chinese stock market.
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© 2011 Springer-Verlag Berlin Heidelberg
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Wu, X. (2011). The Empirical Study of Portfolio Risk for Chinese Stock Market Based on Web. In: Lin, S., Huang, X. (eds) Advances in Computer Science, Environment, Ecoinformatics, and Education. CSEE 2011. Communications in Computer and Information Science, vol 216. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-23345-6_76
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DOI: https://doi.org/10.1007/978-3-642-23345-6_76
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-23344-9
Online ISBN: 978-3-642-23345-6
eBook Packages: Computer ScienceComputer Science (R0)