CAJ | 학술논문

运用Copula理论和蒙特卡洛模拟法对黄金和石油投资组合进行了风险价值计算。其结果表明：黄金和石油投资组合是有效的；该投资组合的风险介于风险较小的黄金和风险较大的石油之间，且投资组合的风险小于两种资产风险的平均值。这说明在黄金和石油风险不一的情况下，可以将这两种资产进行组合投资，这样既能够有效地降低整体投资风险，又能够分享高风险石油资产所带来的较高收益。
운용Copula이론화몽특잡락모의법대황금화석유투자조합진행료풍험개치계산。기결과표명：황금화석유투자조합시유효적；해투자조합적풍험개우풍험교소적황금화풍험교대적석유지간，차투자조합적풍험소우량충자산풍험적평균치。저설명재황금화석유풍험불일적정황하，가이장저량충자산진행조합투자，저양기능구유효지강저정체투자풍험，우능구분향고풍험석유자산소대래적교고수익。
Copulas theory and Monte Carlo simulation are used to measure the risk value of gold an d oil invest-ment portfolio. The results show that the investment portfolio is effective;the risk of the portfolio is between gold and oil,and also the portfolio risk is less than the average of the two assets. Then it is clear that in case that gold and oil are inconsistent in risks,investment of gold and oil as a portfolio can effectively reduce the overall investment risk as well as share the high investment profits brought by high-risk oil asset.