期刊名称：International Journal of Computer Science Issues
印刷版ISSN：1694-0784
电子版ISSN：1694-0814
出版年度：2012
卷号：9
期号：4
出版社：IJCSI Press
摘要：In the recent years, the distribution of possible future losses for portfolios, such as bonds or loans, exhibits strongly asymmetric behavior. In this paper, we have analyzed the effective portfolio risk management through a computational state space model by using particle filter through sequential estimation of volatility. The computational model comprises with Extended weight Moving Average Model and Black Scholes-Option Pricing model as well as GARCH deterministic volatility model. The outcome of the model establishes the effectiveness of particle filter for estimating volatility of call option prices for future portfolio returns and it can able to predict the investors financial risk and measures in a significant manner.
关键词：Portfolio; financial risk; volatility; particle filter; call option; put option.
