| 基于Copula方法的开放式基金投资组合的VaR研究 |
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| 引用本文： | 杨湘豫,夏宇.基于Copula方法的开放式基金投资组合的VaR研究[J].系统工程,2008,26(12):40-44. |
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| 作者姓名： | 杨湘豫 夏宇 |
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| 作者单位： | 湖南大学,数学与计量经济学院,湖南,长沙,410082 |
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| 摘 要： | Copula已被广泛地应用于金融领域,特别在金融市场上的风险管理,投资组合的选择,资产定价等方面,并成为解决金融问题的一个有力工具.本文以南方高增长基金的前10支股票为例,建立了投资组合风险分析的Copula-GARCH模型.结合Monte Carlo模拟技术,利用Copula理论计算投资组合的VaR,并与传统的VaR方法进行比较,实证结果表明基于Copula的VaR方法能够更加有效地测量开放式基金投资组合的风险.
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| 关 键 词： | 开放式基金 投资组合 |
Empirical Analysis about Portfolio of China's Open-end Funds Based on Copula Method |
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| YANG Xiang-yu,XIA Yu.Empirical Analysis about Portfolio of China''s Open-end Funds Based on Copula Method[J].Systems Engineering,2008,26(12):40-44. |
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| Authors: | YANG Xiang-yu XIA Yu |
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| Institution: | YANG Xiang-yu,XIA Yu (Hunan University,Changsha 410082,China) |
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| Abstract: | Copula has been widely used in the financial field,especially in the financial market risk management,portfolio choice,asset pricing,and become a powerful tool to settle the financial issues.In this paper,make southern highgrowth fund shares before 10 as an example,establish the Copula-GARCH model of the investment portfolio risk analysis.Combining Monte Carlo simulation techniques,and using Copula theory to calculate portfolio VaR,and comparing with the traditional methods of VaR.Empirical results show tha... |
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| Keywords: | Copula VaR |
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