基于Pair-Copula-GARCH模型与CVaR的时变投资组合优化

徐晓波; 李述山; 叶 杨

基于Pair-Copula-GARCH模型与CVaR的时变投资组合优化

引用本文：徐晓波，李述山，叶杨.基于Pair-Copula-GARCH模型与CVaR的时变投资组合优化[J].经济数学,2015,(1):42-46

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作者	单位
徐晓波，李述山，叶杨	（山东科技大学数学与系统科学学院，山东青岛 266590）

中文摘要:以过去的信息为条件，以一致性风险度量CVaR为优化目标，以组合收益率为约束条件，建立了时变投资组合优化模型，通过基于pair-copula-GARCH模型的蒙特卡洛模拟方法得到未来某时刻收益率的多个可能情景，并引入一个特殊函数实现了投资组合模型的线性化，得到了最优投资组合策略．最后针对提出的模型进行了实例分析．

中文关键词:pair-copula GARCH模型时变CVaR 投资组合优化

Time-varying Portfolio Optimizing Based on Pair-Copula-GARCH Model and CVaR

Abstract:On the basis of the historical information, aiming at minimum the coherent risk measure CVaR and regarding portfolio returns as constraint conditions, the time-varying portfolio optimization model was established． The linearization of portfolio investments model was achieved by introducing a special function and some possible scenarios representing future moment returns, which can be calculated by the Monte Carlo simulation method based on the pair-copula-GARCH model． The model helps us get optimal portfolio investments strategy．Finally, the presented model was exemplified by a case．

keywords:pair-copula GARCH model time-varying CVaR portfolio optimizing

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