【金融量化分析】#Risk Management (Final Examination Note)

子: CAPM

一:CAPM theory(Beta value)

上车‍‍
【金融量化分析】#Risk Management (Final Examination Note)_第1张图片

【金融量化分析】#Risk Management (Final Examination Note)_第2张图片
思路:求资产的beta(上一题是求portfolio的β)
【金融量化分析】#Risk Management (Final Examination Note)_第3张图片

丑:One factor model

在这里插入图片描述
思路:
In the markets underling APT where are no opportunities to make arbitrage profit.(construct a APT type)

【金融量化分析】#Risk Management (Final Examination Note)_第4张图片

寅:proof of Var(rp)

【金融量化分析】#Risk Management (Final Examination Note)_第5张图片
思路:对Var(rp)进行展开,代入各值

辰:Computation of VaR;CVaR;CVaR+

一:对应基础数理知识

【金融量化分析】#Risk Management (Final Examination Note)_第6张图片
【金融量化分析】#Risk Management (Final Examination Note)_第7张图片

巳:Factor Model (Two)

【金融量化分析】#Risk Management (Final Examination Note)_第8张图片
【金融量化分析】#Risk Management (Final Examination Note)_第9张图片【金融量化分析】#Risk Management (Final Examination Note)_第10张图片

午:Proof

【金融量化分析】#Risk Management (Final Examination Note)_第11张图片
【金融量化分析】#Risk Management (Final Examination Note)_第12张图片
【金融量化分析】#Risk Management (Final Examination Note)_第13张图片

你可能感兴趣的:(量化金融分析,python)