Academic Journal of Business & Management, 2022, 4(3); doi: 10.25236/AJBM.2022.040301.
Jiajie Yu
Business School, University of Shanghai for Science and Technology, Shanghai, 200093, China
Since its official launch on August 17, 2016, Lombarda China Medical Health Fund has mainly focused on the potential leaders of medical services. It has performed very well in the medical-theme funds. Thus, it has become a signature product in the field. However, with the acceleration of the process of centralized pharmaceutical purchase in the second half of 2021, the relevant top holdings of the fund continued to slump, resulting in the continuous decline of its revenue. This paper selects the top ten holdings of Lombarda China Medical Health Fund as the representative portfolio, estimating its VaR (Value at Risk) using Monte Carlo Simulation method to provide investors with quantifiable fund risk information so that they can choose a more appropriate investment scheme.
Monte Carlo Simulation; Value at Risk; Financial Risk Management; Fund
Jiajie Yu. Research on Value at Risk of Lombarda China Medical Health Fund Based on Monte Carlo Simulation. Academic Journal of Business & Management (2022) Vol. 4, Issue 3: 1-6. https://doi.org/10.25236/AJBM.2022.040301.
[1] Guan, Z. (2021) The Risk Value of Investment Portfolios. Guangxi Normal University,. DOI: 10.27036/d.cnki.ggxsu.2021.000043.
[2] He, L.Y.H. (2021) Research on the risk value of open-end funds based on Monte Carlo simulation. Guangxi Normal University, DOI: 10.27036/d.cnki.ggxsu.2021.000948.
[3] Yang, Y. and Xu, W.B. (2013) An Empirical Analysis of the Value-at-Risk (VaR) Calculation Method. Journal of Beijing Information Technology University (Natural Science Edition), 28(04), 83-87. DOI: 10.16508/j .cnki.11-5866/n.2013.04.013.
[4] Ouyang, M.H. (2008) Monte Carlo method based on Archimedes Copula metric VaR. Statistics and Decision, 20, 42-44.
[5] Wang, Z.G., Feng L.Y. and Na R. (2012) Calculation of VaR value of CSI 300 stock index futures based on Monte Carlo simulation method. Modern Computer (Professional Edition), 5, 3-7.
[6] Wei, P.C. (2021) Research on value-at-risk and risk spillover of stock market based on GARCH-VaR model. Journal of Henan University of Science and Technology (Social Science Edition), 39(02),50-55. DOI: 10.15926 /j.cnki.hkdsk.2021.02.009.