中文摘要：

证券投资的最根本目的在于获取利益．但在投资过程中，收益总是伴随着风险．通常收益越高，风险越大，反之亦然．为了分散风险，投资者将许多种证券组合在一起进行投资，即所谓的投资组合，以期获得最大收益．文章讨论一种投资风险度量模型，基于均值．VaR模型和均值一离差模型，提出新的度量模型，并对新的模型进行实证分析．通过新模型下的风险值分别与均值一VaR模型和均值一离差模型的风险值进行比较，发现该模型更有优势．

英文摘要：

Usually, the higher the income, the greater the risk and vice versa. To spread the risks, investors will invest many types of portfolio investment together, the so-called investment portfolio. Due to historical and institutional reasons, China＇s modem portfolio theory study starts late, however, after more than 10 years of ef- forts, China＇s scholars have made substantial progress in the study in this field. This paper studies the VaR model of the investment portfolio and calculates VaR. It has a certain reference value.