基于Pair-Copula-GARCH模型与CVaR的时变投资组合优化
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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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