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1、哈爾濱工業(yè)大學(xué)管理學(xué)碩士學(xué)位論文AbstractVaRmethodfmanyyears‘developmenthasbecomingawidelyusedthemostpopularmethodfriskmanagementusedbyfinancialpractitioners.OverthepastfewyearsalthoughtheVaRhasbeenverywidelyusedthetheypracticehaveproved
2、thattheexistingVaRtheyisfarfromperfectSuchasthemultifariouscalculationmethodspikethicktail‘sdifficultaccuratelymeasurementsoon.Manyscholarshavecarriedouttargetedresearch.ButtheVaRtheystillhasanobviousshtcomingthatfewpeop
3、lehasresearched.SomescholarspointedoutthattheVaRmodelhasanobviousdisadvantagethatistheVaR‘sfecastffuturevolatilityisbasedonhisticaldatainthepastitcanbefoundffinancialmarketswithslowfluctuationButwhatwehavetostudyisvolati
4、lestockmarketwhethertheassumptionisreliablestillbeingexamined.thisresearchbasedontherelatedresearchatpresentaboutcpatestrategyinvestmentriskVaRmethodThroughthemeasureoftheadvantagesdisadvantagesofthecurrentpopularVaRmode
5、lwhichisusedtoanalysisingstockinvestmentriskreviewedthecurrentsituationoftheresearchWeputfwardVaRimprovemodelbasedonstrategicconsideration.Basedontheanalysisoftheexistingresearchwemadetodefinitionrecognitiontotheenterpri
6、sestrategicfactswestoutthreetypesofthetotal51strategicfactstheyareresourcebasedcompetencybasedenvironmentbasedweusedexpertquestionnairemethodtothemostimptant20strategicfactsthenweusethefuzzyanalytichierarchyprocess(AHP)c
7、oncludedtheweightofeachstrategicfact.Thisstudyedthelistedcompaniesofthepharmaceuticalindustryastheresearchobjectcollectsthevaluestrategicfactsin52pharmaceuticalcompanieslistedontheShanghaiStockExchangewefindouttheirstrat
8、egicfactsce.Introducedinfittingdistributionofstockreturnscollecting52companies‘returnontwostockmakingghdistribution‘sparameterestimatio.Wemakeregressionfittingofthestockyieldoftwoparameterestimatebasedonthestrategicfactc
9、oncludedthemodifieddistributionofghthengetthemodifiedVaRmodel.AtlasstweromlyedtwopharmaceuticalcompaniesverifiestheposteriofthemodifiedmodeltheresultsshowedthemodifiedVaRmodelcanbetterassessthestockinvestmentrisk.Thisres
10、earchstudytheroleofstrategicfactsinthestockinvestmentriskmedeeplyconcludedaneffectiveimprovementSVaRmodelcomparedtotheII哈爾濱工業(yè)大學(xué)管理學(xué)碩士學(xué)位論文目錄摘要................................................................................
11、........................................IABSTRACT..............................................................................................................II目錄.........................................................
12、............................................................IV第1章緒論..........................................................................................................61.1分析背景與問題提出..................................
13、....................................................61.2分析目的和分析意義......................................................................................71.2.1分析目的...........................................................
14、.......................................71.2.2分析意義..................................................................................................81.3國內(nèi)外分析現(xiàn)狀..............................................................
15、................................91.3.1VaR方法分析現(xiàn)狀...................................................................................91.3.2企業(yè)戰(zhàn)略分析現(xiàn)狀............................................................................
16、.....121.3.3企業(yè)戰(zhàn)略與股票收益關(guān)系分析現(xiàn)狀.....................................................131.3.4分析現(xiàn)狀評述........................................................................................141.4分析內(nèi)容與方法...........................
17、.................................................................151.4.1分析內(nèi)容與框架....................................................................................151.4.2分析方法與分析工具.........................................
18、....................................17第2章相關(guān)的理論與方法選擇............................................................................182.1企業(yè)戰(zhàn)略因素界定與識別............................................................................1
19、82.1.1企業(yè)戰(zhàn)略因素的界定.............................................................................182.1.2基于資源基礎(chǔ)觀的戰(zhàn)略因素識別.........................................................182.1.3基于核心能力觀的戰(zhàn)略因素識別.............................
20、............................212.1.4基于環(huán)境觀的戰(zhàn)略因素識別.................................................................232.2VaR模型..................................................................................................
21、......252.2.1VaR模型的原理分析.............................................................................252.2.2VaR計(jì)算方法.........................................................................................252.3引入gh分布進(jìn)行股票收益
22、率的擬合.........................................................262.3.1選取gh分布的原因.............................................................................262.3.2gh分布基本概念...................................................
23、................................262.3.3參數(shù)估計(jì)................................................................................................282.4本章小結(jié)........................................................................
24、...............................29第3章企業(yè)戰(zhàn)略因素的篩選與度量.....................................................................303.1企業(yè)戰(zhàn)略因素的篩選.................................................................................303.1.1企
25、業(yè)戰(zhàn)略因素選擇的原則...................................................................303.1.2戰(zhàn)略因素選擇的方法...........................................................................313.1.3用德爾菲法進(jìn)行戰(zhàn)略因素篩選................................
26、...........................313.2企業(yè)戰(zhàn)略因素的權(quán)重衡量.........................................................................333.2.1權(quán)重衡量方法選擇..............................................................................333.2.2利用模糊
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