开放式基金投资组合风险实证——基于copula的分析  

EMPIRICAL ANAYLYSIS ON PORTFOLIO RISK OF OPEN-END FUNDS BASED ON COPULA

作　　者：杨湘豫[1] 肖璐[1] 

机构地区：[1]湖南大学数学与计量经济学院,湖南长沙410082

出　　处：《经济数学》2009年第3期29-35,共7页Journal of Quantitative Economics

基　　金：湖南省自然科学基金资助项目(09JJ5004);国家社科基金资助项目(08BJY159)

摘　　要：利用多元阿基米德Copula捕捉多个金融资产间的相关结构,并利用非参数核密度估计描述单个金融资产的边缘分布,建立Copula-Kernel模型.利用该模型和VaR风险测度,结合Mente Carlo模拟技术,对我国股票型开放式基金—华夏成长基金的投资组合进行风险分析.We used the multivariate Archimedean Copula to analyze the asymmetric dependence struc-true among fiancial asset returns,whose marginal process are captured by non parametric Kernel density estimation. Then,a Copula-Kernel model was built for risk analysis of portfolio investment. By this model and risk measure VaR,and using the data from Huaxia Funds, the empirical portfolio risk analasis was made in Chinese Sock-based Open-end fund.

关 键 词：阿基米德COPULA 非参数估计 开放式基金 投资组合 VaR 

分 类 号：O175.6[理学—数学]