A Research On Risk Measurement Of Portfolio

Risk measurement plays an important part in a management of portfolio investment, the most basic purpose of portfolio lies in obtaining profit, but profit always accompany with risk during an investment. Generally, the higher the profit is, the heavier is the risk, vice versa. In order to disperse risk, investors hold many bonds together to make an investment, so it is called portfolio investment for acquiring the maximum profit.this makes a study about risk of portfolio investment become one of a great topic in the boundary of finance.Therefore, the main contents of this paper is divided into following four aspects: firstly, to introduce the concept of portfolio investment and risk. Secondly, to introduce the basic theory of risk measurement, it contains the method of VaR, extreme theory and the type of GARCH. the model of mean-variance and the method of beta coefficient. Thirdly, to introduce a model of risk measurement about portfolio investment, It contains mean-VAR model and mean-deviation model. We make an improvement on these model, then we get a new model.Finally, we use new model in an empirical analysis. Under a new model of risk values and a mean-VaR model and a mean-deviation of the model risk value for comparison , it found that an advantage to the new model.