基于Copula的投资组合选择模型研究  

The Research of Investment Portfolio Selection Model Based on Copula

作　　者：尹向飞[1] 陈柳钦[2] 

机构地区：[1]湖南商学院信息学院,湖南长沙410205 [2]天津社会科学院,天津300191

出　　处：《广东金融学院学报》2009年第2期85-93,共9页Journal of Guangdong University of Finance

基　　金：湖南省自然科学基金项目(05JJ40103)

摘　　要：基于概率收益率与概率风险的定义,建立基于风险与收益率的投资组合模型,为了更好拟合联合分布,在具体解法中采用Copula函数来构造多个资产收益率的联合分布。由于不要求收益率服从维纳过程,因此基于Copula的Markowitz投资组合选择模型具有更广的适用性。通过对上证领先指数与深证领先指数收盘数据实证分析发现,在收益率(基于概率ρ0的收益率)一定的情况下,通过投资组合可以降低风险。Based on the definition of yield rate and risk of probability, we formulate a portfolio model about risk and yield rate. In order to get fitting joint distribution, in detail we use the Copula function to formulate joint distribution on several capital yield rate. The yield rate is not required to submit to wiener process, so the Copula portfolio model can be more widely applied. After empirical study on Shanghai and Shenzhen security market leading index at close data, we find that, if the yield rate （yield based on probability P0）is fixed, portfolio will reduce risk.

关 键 词：PVAR VAR COPULA 投资组合 

分 类 号：F830.9[经济管理—金融学]