Copula的投资组合选择模型的应用研究 |
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引用本文:杨湘豫,高楠楠.Copula的投资组合选择模型的应用研究[J].财经理论与实践,2011,(6):59-61 |
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中文摘要:结合Copula技术和GARCH模型,建立了投资组合的Copula-GARCH模型。由于该模型可以捕捉金融市场间的非线性相关性,因而可用于投资组合的风险分析中。利用这个模型,并结合Markowitz的投资组合选择模型,对我国的一支开放式基金〖CD2〗中信红利精选股票型证券投资基金投资组合的选择进行了优化,本文应用lingo 8.0,在收益率一定的情况下, 得到了风险(VaR)最小的投资组合。 |
中文关键词:Copula-GARCH模型 开放式基金 投资组合选择 VaR |
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Empirical Analysis about Portfolio selection of Copula |
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Abstract:In this paper, Copula and the forecast function of GARCH model are well combined, and a Copula-GARCH model is built for risk analysis of portfolio investment as it can describe the dependency structure of multi dimension random variable. By this model and Markowitz'portfolio selection model, empirical portfolio selection analysis is made in Chinese open end funds. The portfolio with minimum VaR when the yield is given is get by lingo8.0 . |
keywords:Copula GARCH model open end funds portfolio selection Value at risk |
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