系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2006年
3期
45~52
,共null页
吴振翔 陈敏 叶五一 缪柏其
吳振翔 陳敏 葉五一 繆柏其
오진상 진민 협오일 무백기
投资组合 风险分析 Copula GARCH
投資組閤 風險分析 Copula GARCH
투자조합 풍험분석 Copula GARCH
portfolio; risk analysis; Copula; GARCH
结合Copula及GARCH模型的预报功能,建立了投资组合风险分析的Copula-GARCH模型.利用这个模型,对我国股票市场实际组合投资问题进行了风险分析,并给出了最小风险组合的具体形式.
結閤Copula及GARCH模型的預報功能,建立瞭投資組閤風險分析的Copula-GARCH模型.利用這箇模型,對我國股票市場實際組閤投資問題進行瞭風險分析,併給齣瞭最小風險組閤的具體形式.
결합Copula급GARCH모형적예보공능,건립료투자조합풍험분석적Copula-GARCH모형.이용저개모형,대아국고표시장실제조합투자문제진행료풍험분석,병급출료최소풍험조합적구체형식.
Copula can describe the dependency structure of multi-dimension random variable. 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. By this model, empirical portfolio risk analysis is made in Chinese stock market. At last, the mini-risk portfolio is given.
