The Risk Assessment And Parameter Optimization Of "Minimal Investment Model"

This is a turbulent investment era. The winner of the capital market will always belong towho has the forward-looking vision and one step ahead. Today, faced with a range ofinvestment products and investment Strategies, every investor is trouble in to choose the rightinvestment products and strategies. However, Quantitative investment has brought us a newinvestment model. It subverted our fixed thinking which it is difficult to get beyond ourmarket average. Simons is the representative of quantitative investment, his quantitative fundsdespite encountered several systemic risks, but still achieved far higher profit rate of returnthan the market average. He has become the myth of Wall Street.China's stock market, which is young and vibrant, quantitative investment is still in itsinfancy and has a broad prospects. Based on this historical crystallization which is" Lowvolume, price also with low", then This paper designs the "Minimal Investment model" tofind a relatively reasonable time to buy for investors. The main work of the paper is just tousing the Extreme Value Theory to assess the risk and then optimize the parameters.The innovation of this paper is to use the combination of theoretical and empiricalanalysis to solve the parameter selection problem of the investment model. In theory, firstly,In accordance with the layout of the lessons learned and theoretical support and then give asimple proof for "Low volume, price also with low" using mathematical knowledge. secondly,the paper uses the Extreme Value Theory to Calculate the risk and then optimize theparameters. When estimate the parameter, this paper uses the probability-weighted momentswhich is suitable for small samples and data in this article.This article uses a combination of qualitative and quantitative analysis. based on thestudying of the theoretical Knowledge, It selects for analysis in object and analysis ofindicators,With the Eviews6.0and R software calculation tool, to execute Risk evaluationand parameter optimization for the"Minimal Investment model".