基于copula的投资组合选择模型的研究  

Research of Portfolio Investment Model Based on Copula

作　　者：尹向飞[1] 陈柳钦[2] 

机构地区：[1]南开大学经济学院,天津300071 [2]天津社会科学院,天津300191

出　　处：《金融发展研究》2009年第2期56-59,共4页Journal Of Financial Development Research

基　　金：湖南省自然科学基金项目(05JJ40103)的阶段性研究成果

摘　　要：本文首先介绍了投资组合理论与copula,然后给出基于概率的收益率等定义,建立基于概率的收益率的投资组合选择模型并给出具体解法,接着通过选取上证领先指数与深证领先指数2004年9月1日至2006年5月26日的日收盘数据进行实证分析,发现在收益率(基于概率的收益率)一定的情况下,通过投资组合可以降低风险。Theories of investment portfolio and copula are introduced at first, then some return definitions based on probability P0 are advanced and investment portfolio selection model which is based on the definition of yield based on probability P0 are established. Detailed solution to the model is offered afterward. In the third and fourth part of the paper demonstration analysis and conclusion are advanced.

关 键 词：PVAR VAR COPULA 投资组合 

分 类 号：F830[经济管理—金融学]