| 基于Copula-TARCH的开放式基金投资组合风险的实证分析 |
| |
| 引用本文： | 杨湘豫,周再立. 基于Copula-TARCH的开放式基金投资组合风险的实证分析[J]. 系统工程, 2011, 0(6) |
| |
| 作者姓名： | 杨湘豫 周再立 |
| |
| 作者单位： | 湖南大学数学与计量经济学院; |
| |
| 基金项目： | 教育部人文社会科学研究项目(1189); 湖南省自科基金资助项目(09JJ5004) |
| |
| 摘 要： | 以华夏基金的前10支股票为例,建立了AR(1)-TARCH-t(1,1)模型。分别采用正态Copula函数、t-Copula函数完成单个资产收益的边缘分布到资产组合联合分布的过渡。并结合Monte-Carlo模拟技术计算基金组合的VaR。比较实证结果得出Copula函数的选取影响投资组合风险值;由t-Copula函数仿真得到的VaR更保守。
|
| 关 键 词： | 开放式基金 Copula函数 Monte-Carlo模拟 VaR |
Empirical Analysis on Portfolio Risk of Open-end Funds Based on Copula-TARCH |
| |
| YANG Xiang-yu,ZHOU Zai-li. Empirical Analysis on Portfolio Risk of Open-end Funds Based on Copula-TARCH[J]. Systems Engineering, 2011, 0(6) |
| |
| Authors: | YANG Xiang-yu ZHOU Zai-li |
| |
| Affiliation: | YANG Xiang-yu,ZHOU Zai-li(College of Mathematics and Econometrics,Hunan University,Changsha 410082,China) |
| |
| Abstract: | This paper,by taking Huaxia growing fund shares before 10 for example,establishes the AR(1)-TARCH-t(1,1)model.First the gaussian Copula Function and the t-Copula Function are used to transit the marginal distribution of each asset returns into the united distribution of the fund portfolio.Then the risk of the fund portfolio is calculated by combining Monte-Carlo simulation technique.Empirical results show that the choice of Copula function affects the value-at-risk of the fund portfolio,and that the VaR sim... |
| |
| Keywords: | Open-end Funds Copula Function Monte-Carlo Simulation VaR |
| 本文献已被 CNKI 等数据库收录！ |
