Theoretical and Empirical Study on Risk Measurement Method Statistics and Portfolio Model

Abstract

Abstract The fundamental purpose of securities investment is to obtain benefits. In order to diversify risks, many investors invest many kinds of securities simultaneously to achieve the maximum returns. Risk measurement methods and portfolio model have become the major issues faced with the financial sector. This paper analyses the calculating method and applicable condition of Markowitz risk remuneration model, Arrow-Pratt risk remuneration model and Jia & Dyer standard risk model. This paper gives the investment model optimized by mean entropy and portfolio model including transaction cost. Empirical analysis shows that the portfolio model is suitable for calculating the return and risk of portfolio. According to the model, investor’s different degree of risk avoidance will form different investment strategies.