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Web of Proceedings - Francis Academic Press
Web of Proceedings - Francis Academic Press

Empirical Experiments on Financial Risk Management under Global Recession

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DOI: 10.25236/ieesasm.2021.075

Author(s)

Sarah Wan

Corresponding Author

Sarah Wan

Abstract

With the volatility of financial market and the aggravation of system risk, financial market risk management has become the focus of financial industry. Markowitz in 1952, in his academic paper “portfolio selection”, for the first time application portfolio for the mean and variance of the two mathematical concepts, explicitly defines the mathematical formulation of the returns and risk of investors, to create the Markowitz asset pricing model, solved under some constraint conditions to solve the optimal ratio of investment. The Markowitz model is generally considered to have three insuperable shortcomings. The software used in this article is R language General Algebraic modeling system and Python which is used to calculate metrics such as the rate of return, expected return and so on.

Keywords

Portfolio risk markowitz, Var, Cvar, Skewness, Kurtosis, S&p100 r language