DocumentCode
2667606
Title
Study WVAR algorithm and WVAR application on investment assemble
Author
Ning, Cui ; Xiangyu, Shi ; Quan, Lin ; Yifei, Qi
Author_Institution
Coll. of Sci., China Univ. of Min. & Technol., Xuzhou, China
fYear
2010
fDate
17-19 Sept. 2010
Firstpage
288
Lastpage
290
Abstract
Based on MATLAB programming platform, this paper carried out the WVAR numerical solution according to the Simpson formula, meanwhile established a portfolio model based on WVAR. Study proves that when volatility of the stock market is flat, the risk characterized by WVAR on the U.S. Nasdaq index has more advantages over the VAR and TVAR.
Keywords
investment; numerical analysis; risk management; stock markets; MATLAB programming platform; Simpson formula; U.S. Nasdaq index; WVAR algorithm; investment assemble; portfolio model; stock market volatility; Finance; Investments; Mathematical model; Numerical models; Optimization; Portfolios; Stock markets; Simpson; WVAR; numerical solution; portfolio model;
fLanguage
English
Publisher
ieee
Conference_Titel
Information and Financial Engineering (ICIFE), 2010 2nd IEEE International Conference on
Conference_Location
Chongqing
Print_ISBN
978-1-4244-6927-7
Type
conf
DOI
10.1109/ICIFE.2010.5609302
Filename
5609302
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