• DocumentCode
    2076090
  • Title

    Study on the Decision-Making Method Based on VaR

  • Author

    Geng, Peng

  • Author_Institution
    Bus. Sch., Ji Shou Univ., Ji Shou, China
  • fYear
    2009
  • fDate
    20-22 Sept. 2009
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ICMSS.2009.5301150
  • Filename
    5301150
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2076090