单因素模型 meaning in Chinese
unifactor model
Examples
- The systematic risk of shanghai a - share changes timely , and individual stock price compare with the change of market index are elastic . the return presents fluctuation with macro - economy factors and single - index model cannot reflect the change of stock price
单只股票的价格相对于大盘变动富有弹性，股票投资收益将因宏观经济因素的不同而表现出波动性，单因素模型(单指数模型)并不能很好地反映股票价格的变动。 - In the fourth chapter , the application effect of portfolio theory has been verified , the result shows that these portfolio models do n ' t have evident advantage . when considering sell short constraint , single index model shows better afterwards return rate and can be looked as an important 2 reference by equity mutual fund
论文的第四部分对投资组合理论在我国基金中的应用进行了实证分析，研究表明根据投资组合理论求出的模型并不具有明显优势，但加入不允许卖空约束后的单因素模型取得了较好的事后收益率，可作为投资者投资基金的重要参考。 - Secondly , this thesis evaluates some main theories and method about market risk measurement . such as mean - variance criterion of markowitz and risk decentralization principal , single - factor model , multifactor model , down - risk model , black - scholes model and var model based on the calculation of loss . it also discusses the suitable conditions and defects of every theory and method , and think that var is a more perfect method for risk measurement by comparison
其次，评价了有关市场风险度量的一些主要理论和方法，如markowitz的均值?方差准则和风险分散原则、 capm模型和风险的市场因素模型、单因素模型、多因素模型、 downside - risk 、期权定价理论和现代基于损失计量风险的var等风险度量理论，并讨论了各种风险度量方法的具体适用条件及相应的缺陷。 - And then , the thesis import a thrice - polynomial technology to depict the yield curve of shanghai stork exchange market and gained the yield curve chart . under one factor model hypothesis , deduce the bond pricing formulae . based on 1945 data of buy - back rate in banking market , the thesis use ols and gmm estimation technologies to estimate the parameters of vasicek model , cir model , and ckls model , and verify which model can explain the china market ’ s short rate ’ s wave
然后,从实证的角度,用三次多项式来拟合上交所国债收益率曲线,并得出收益率曲线图,在单因素模型推导了动态理论期限结构下的债券定价公式,并以1945个中国银行间债券市场7天回购利率数据作为短期利率的代表,验证vasicek模型、 cir模型与ckls模型是否适用中国短期利率的波动行为,估计出三个模型的参数。