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Vol. 157, Issue 10, October 2013, pp. 363-368

 

Bullet

 

The Optimal System Standardization Model Based on the VaR and CVaR Technology
 
Zhengquan SHI

School of Economics and Management of Wuhan University, Wuhan, 430072, China

 

Received: 26 August 2013   /Accepted: 25 September 2013   /Published: 31 October 2013

Digital Sensors and Sensor Sysstems

 

Abstract: Optimal Standardized model plays a significant role in industrial production. This paper studies the optimal system standardize models under the Value-at-Risk and Conditional Value-at-Risk technology. Under the fixed constraints, the paper establishes the optimal system Value-at-Risk technology model. Based on the VaR model and coherent measurement properties, the paper introduces discretization technique and auxiliary variable, puts forward to the optimal Conditional Value-at-Risk technology model. Furthermore, the paper compares the two standardization models by using Monte Carlo Simulation under the MATLAB circumstance. The numerical results indicate that either under different confidence levels or under different expected return, CVaR technology can explain and make decision better than VaR technology. Thus, the paper demonstrates that, in the process of establishing the optimal standardization models, one should take account into Conditional Value-at-Risk technology rather than Value-at-Risk technology.

 

Keywords: Optimal system, Standardization model, Value-at-Risk, Conditional Value-at-Risk, Monte Carlo Simulation.

 

 

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