{"id":8987,"date":"2024-05-18T13:01:01","date_gmt":"2024-05-18T05:01:01","guid":{"rendered":""},"modified":"2024-05-18T13:01:01","modified_gmt":"2024-05-18T05:01:01","slug":"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08 Ulcer Index\uff09\u66f2\u9762\u56fe\u53ef\u89c6\u5316","status":"publish","type":"post","link":"https:\/\/mushiming.com\/8987.html","title":{"rendered":"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08 Ulcer Index\uff09\u66f2\u9762\u56fe\u53ef\u89c6\u5316"},"content":{"rendered":"

\u6700\u8fd1\u6211\u4eec\u88ab\u8981\u6c42\u64b0\u5199\u5173\u4e8e\u80a1\u7968\u98ce\u9669\u7684\u7814\u7a76\u62a5\u544a\uff0c\u5305\u62ec\u4e00\u4e9b\u56fe\u5f62\u548c\u7edf\u8ba1\u8f93\u51fa\u3002<\/h3>\n<\/p>\n

\u76ee\u6807\u51fd\u6570\u7684\u5e73\u6ed1\u5ea6\u5bf9\u4e8e\u4f18\u5316\u7684\u6210\u529f\u81f3\u5173\u91cd\u8981\u3002<\/p>\n

\u53ef\u89c6\u5316\u76ee\u6807\u51fd\u6570\u662f\u4e00\u79cd\u68c0\u67e5\u5e73\u6ed1\u5ea6\u7684\u7b80\u4fbf\u65b9\u6cd5\u3002<\/p>\n

\u4f8b\u5982\uff0c\u8ba9\u6211\u4eec\u68c0\u67e5\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08  Ulcer Index\uff09  \uff0c\u8fd9\u662f\u4e00\u79cd\u98ce\u9669\u5ea6\u91cf\uff0c\u7c7b\u4f3c\u4e8e\u201c\u6807\u51c6\u504f\u5dee\u201d\u3002<\/p>\n

\u6e83\u75a1\u6307\u6570\u5c1d\u8bd5\u901a\u8fc7\u8861\u91cf\u4ef7\u683c\u56de\u64a4\u6765\u8861\u91cf\u6301\u6709\u4ea4\u6613\u6216\u6295\u8d44\u7684\u538b\u529b\u3002\u6e83\u75a1\u6307\u6570\u57fa\u4e8e\u4e0b\u964d\u6ce2\u52a8\u6027\u6709\u5bb3\u3001\u4e0a\u5347\u62e8\u52a8\u6027\u6709\u5229\u7684\u6982\u5ff5\u3002<\/p>\n

\u4e0d\u50cf\u91d1\u878d\u884c\u4e1a\u901a\u5e38\u7528\u6765\u8861\u91cf\u80a1\u7968\u98ce\u9669\u7684\u6807\u51c6\u5dee\u90a3\u6837\u4f7f\u7528\u540c\u6837\u7684\u6743\u91cd\u6765\u8861\u91cf\u4e0a\u884c\u6ce2\u52a8\u548c\u4e0b\u884c\u6ce2\u52a8\uff0c\u6e83\u75a1\u6307\u6570\u4f7f\u7528\u4e86\u66f4\u52a0\u660e\u667a\u7684\u65b9\u6cd5\u3002\u5b83\u58f0\u660e\u6295\u8d44\u8005\u4eec\u5f80\u5f80\u53ea\u5728\u4e4e\u80a1\u7968\u7684\u4e0b\u884c\u98ce\u9669\uff0c\u5e76\u4e0d\u5728\u4e4e\u4e0a\u884c\u98ce\u9669\uff08\u56e0\u4e3a\u5728\u6295\u8d44\u8005\u505a\u591a\u7684\u60c5\u51b5\u4e0b\uff0c\u4e0a\u884c\u98ce\u9669\u662f\u6709\u5229\u7684\uff0c\u76f8\u5f53\u4e8e\u76c8\u5229\uff09\u3002<\/p>\n

\u5982\u679c Ulcer\u6307\u6570 \u662f\u5e73\u6ed1\u51fd\u6570\uff0c\u5219\u53ef\u4ee5\u4f7f\u7528\u4f8b\u5982\u975e\u7ebf\u6027\u6c42\u89e3\u5668\u8f7b\u677e\u5730\u5c06\u5176\u7528\u4e8e\u4f18\u5316\u3002<\/p>\n

#*****************************************************************\n# \u6a21\u62df\u6570\u636e\n#*****************************************************************\nload.packages('quantmod')\n\ns = c(120,135,10) # \u73b0\u8d27\u4ef7\u683c\nr = c(0.15, 0.21,0.3) # \u9884\u671f\u56de\u62a5\nsig  = c(0.12,0.36,0.17) # \u9884\u671f\u6807\u51c6\u5dee\u77e9\u9635\nr12 = 0.33 # \u7b2c\u4e00\u548c\u7b2c\u4e8c\u8d44\u4ea7\u4e4b\u95f4\u7684\u76f8\u5173\u6027\nr13 = 0.3 #  \u7b2c\u4e00\u548c\u7b2c\u4e09\u8d44\u4ea7\u4e4b\u95f4\u7684\u76f8\u5173\u6027\nr23 = 0.79 #\u7b2c\u4e8c\u548c\u7b2c\u4e09\u8d44\u4ea7\u4e4b\u95f4\u7684\u76f8\u5173\u6027\n\n# \u6784\u9020\u76f8\u5173\u77e9\u9635\nr = matrix(1,nr=3,nc=3)\nr[upper.tri(rho)] = c(r12,r13,r23)\n\n\n# \u786e\u4fdd\u76f8\u5173\u77e9\u9635\u4e3a\u6b63\u5b9a\u4e49\u77e9\u9635\n\nrho = as.matrix(nearPD(rho, T)$mat)\n\n\n#*****************************************************************\n# \u67e5\u770b\u6a21\u62df\u4ef7\u683c\n#*****************************************************************\n\nplota.matplot(scale.one(xts.prices),main='Asset Perfromance')<\/code><\/pre>\n
\"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08<\/p>\n<\/p>\n
#*****************************************************************\n# \u8ba1\u7b97\u6e83\u75a1\u6307\u6570\n#*****************************************************************\napply(cho,1, function(x) {\n\tif(sum(x) > 1) NA\n\telse\n \tlast(ulcer(x[1]*prices[,1] + x[2]*prices[,2] + 1-sum(x)*prices[,3])\n}\n)\n\n\n#*****************************************************************\n#\u53ef\u89c6\u5316\u66f2\u9762 - \u9759\u6001 3D \u7ed8\u56fe\n#*****************************************************************\npersp(tem, tem, z,col='green',xlab='x',ylab='y'<\/code><\/pre>\n
\"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08<\/p>\n<\/p>\n
\u4e0a\u9762\u7684\u4ee3\u7801\u521b\u5efa\u4e86\u4e00\u4e2a\u5f88\u96be\u7814\u7a76\u7684\u9759\u6001\u66f2\u9762\u56fe\u3002<\/p>\n
\u8981\u521b\u5efa\u53ef\u4ee5\u7528\u9f20\u6807\u65cb\u8f6c\u7684\u4ea4\u4e92\u5f0f3D\u56fe\uff0c\u4f7f\u7528\uff1a<\/p>\n
#*****************************************************************\n# \u53ef\u89c6\u5316\u66f2\u9762 - \u4ea4\u4e92\u5f0f 3D \u7ed8\u56fe\uff0c\u4f7f\u7528\u9f20\u6807\u65cb\u8f6c\n#*****************************************************************\n\npersp3d(temp, temp, z,col='green',xlab='x',ylab='y')<\/code><\/pre>\n
 \u6e83\u75a1\u6307\u6570 \u66f2\u9762\u5149\u6ed1\uff0c\u662f\u4f18\u5316\u5408\u9002\u7684\u9009\u62e9\u3002<\/p>\n
\n
\"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08<\/p>\n
\u6700\u53d7\u6b22\u8fce\u7684\u89c1\u89e3<\/p>\n
1.\u7528\u673a\u5668\u5b66\u4e60\u8bc6\u522b\u4e0d\u65ad\u53d8\u5316\u7684\u80a1\u5e02\u72b6\u51b5\u2014\u9690\u9a6c\u5c14\u79d1\u592b\u6a21\u578b(HMM)\u7684\u5e94\u7528<\/p>\n
2.R\u8bed\u8a00GARCH-DCC\u6a21\u578b\u548cDCC\uff08MVT\uff09\u5efa\u6a21\u4f30\u8ba1<\/p>\n
3.R\u8bed\u8a00\u5b9e\u73b0 Copula \u7b97\u6cd5\u5efa\u6a21\u4f9d\u8d56\u6027\u6848\u4f8b\u5206\u6790\u62a5\u544a<\/p>\n
4.R\u8bed\u8a00COPULAS\u548c\u91d1\u878d\u65f6\u95f4\u5e8f\u5217\u6570\u636eVaR\u5206\u6790<\/p>\n
5.R\u8bed\u8a00\u591a\u5143COPULA GARCH \u6a21\u578b\u65f6\u95f4\u5e8f\u5217\u9884\u6d4b<\/p>\n
6.\u7528R\u8bed\u8a00\u5b9e\u73b0\u795e\u7ecf\u7f51\u7edc\u9884\u6d4b\u80a1\u7968\u5b9e\u4f8b<\/p>\n
7.r\u8bed\u8a00\u9884\u6d4b\u6ce2\u52a8\u7387\u7684\u5b9e\u73b0\uff1aARCH\u6a21\u578b\u4e0eHAR-RV\u6a21\u578b<\/p>\n
8.R\u8bed\u8a00\u5982\u4f55\u505a\u9a6c\u5c14\u79d1\u592b\u8f6c\u6362\u6a21\u578bmarkov switching model<\/p>\n
9.matlab\u4f7f\u7528Copula\u4eff\u771f\u4f18\u5316\u5e02\u573a\u98ce\u9669<\/p>\n","protected":false},"excerpt":{"rendered":"\u62d3\u7aeftecdat|R\u8bed\u8a00\u5bf9\u80a1\u7968\u98ce\u9669\u201c\u6e83\u75a1\u6307\u6570\u201d\uff08 Ulcer Index\uff09\u66f2\u9762\u56fe\u53ef\u89c6\u5316\u4e0d\u50cf\u91d1\u878d\u884c\u4e1a\u901a\u5e38\u7528\u6765\u8861\u91cf\u80a1\u7968\u98ce\u9669\u7684\u6807\u51c6\u5dee\u90a3\u6837\u4f7f\u7528\u540c\u6837...","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[],"tags":[],"_links":{"self":[{"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/posts\/8987"}],"collection":[{"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/comments?post=8987"}],"version-history":[{"count":0,"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/posts\/8987\/revisions"}],"wp:attachment":[{"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/media?parent=8987"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/categories?post=8987"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/mushiming.com\/wp-json\/wp\/v2\/tags?post=8987"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}