Title :
Study on the Decision-Making Method Based on VaR
Author_Institution :
Bus. Sch., Ji Shou Univ., Ji Shou, China
Abstract :
Based on VaR this paper puts forward the concept of RaR(return rate at risk) and analyses the result of RaR under the two common distributions to draw a conclusion that the relation of RaR, expected return rate and risk is linear. Found on that, the paper advances a new investment decision-making method. The study discovers that method can substitute the traditional utility function. Finally, we test the method through a case of portfolio selection.
Keywords :
decision making; decision theory; investment; risk management; statistical distributions; RaR; VaR; decision making method; investment; portfolio selection; return rate at risk; statistical distribution; utility function; Decision making; Forward contracts; Gaussian distribution; Investments; Portfolios; Probability distribution; Reactive power; Risk analysis; Risk management; Testing;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301150
