The application of improved VaR-Treynor and VaR-Jensen’s α in financial mathematical modeling: taking photovoltaic building integration plate as an example

Chengjie Huang

doi:10.1117/12.2638836

17 May 2022 The application of improved VaR-Treynor and VaR-Jensen’s α in financial mathematical modeling: taking photovoltaic building integration plate as an example

Chengjie Huang

Author Affiliations +

Proceedings Volume 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022); 1225922 (2022) https://doi.org/10.1117/12.2638836
Event: 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing, 2022, Kunming, China

Abstract

At present, many places have issued related policies of photovoltaic building integration, which will affect the development of listed companies related to photovoltaic building integration. This paper will be based on the effective market hypothesis, Markowitz portfolio theory, capital asset pricing model such as the classic model, combined with GARCH model to 37 photovoltaic building integrated related enterprises in Shanghai and shenzhen stock market volatility of the stock data of yield of modeling, using the normal distribution method of value at risk under different confidence level to calculate, Based on the value at risk and volatility of individual stocks, A reasonable quantitative evaluation ranking of financial risks is carried out, and the performance evaluation of individual stocks in photovoltaic building integration board is carried out through improved and indicators. Five stocks, including Longji Stock, Shenzhen Energy, Haida Stock, Qingyuan Stock and Southern Glass A, are selected as high-quality stocks. Combined with national policy background knowledge and risk analysis results, for the future development trend of photovoltaic building integrated plate summary report.

Citation Download Citation

Chengjie Huang "The application of improved VaR-Treynor and VaR-Jensen’s α in financial mathematical modeling: taking photovoltaic building integration plate as an example", Proc. SPIE 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022), 1225922 (17 May 2022); https://doi.org/10.1117/12.2638836

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