基于Copula-VaR的能源投资组合价格风险度量研究  

Measuring the price risk of energy portfolio with Copula-VaR model

作　　者：赵鲁涛[1,2,3] 李婷[1] 张跃军[4,5] 魏一鸣[2,3] 

机构地区：[1]北京科技大学数理学院,北京100083 [2]北京理工大学能源与环境政策研究中心,北京100081 [3]北京理工大学管理与经济学院,北京100081 [4]湖南大学工商管理学院,长沙410082 [5]湖南大学资源与环境管理研究中心,长沙410082

出　　处：《系统工程理论与实践》2015年第3期771-779,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71001008;71273028;71322103);北京高等学校青年英才计划(YETP0386)

摘　　要：随着国际金融资本和投机资金不断涌入能源市场,能源价格的震荡幅度加剧,为了积极应对这种挑战,需要准确度量价格波动带来的风险,因此本文提出能源价格风险值(VaR_(EP))指标,建立了基于Copula-VaR的能源价格风险模型,定量研究能源投资组合的风险.理论推导和实证研究结果表明,基于Copula-VaR的能源价格风险模型充分考虑了能源价格之间的相互关系优化组合权重,在计算能源投资组合权重分配时,与历史模拟法、等权重分配方法和单一投资方案相比,能更好地降低投资风险.Abstract With a number of international cash flows and venture capital pouring into energy markets, the energy price goes up and down sharply. To rise up to the challenge, we must estimate the risk deriving from price volatility accurately. In this paper, we first introduce the energy price risk level index （VaREp）, and then set up the energy price risk measurement model based on Copula-VaR. At last we make an empirical analysis about the risk of energy investment portfolios. The result shows that energy price risk measurement model based on Copula-VaR has an advantage over the historical simulation method and weight-equal method because of considering relativity of price variables. When we used the model to analyze the risk of energy investment portfolios, we found that the risk of portfolio is lower than separate investments and the risk-avoiding performance of the optimal investment projects is better than the project of equal weight.

关 键 词：COPULA函数 VALUE at Risk(VaR) 价格风险 投资组合 

分 类 号：F416.22[经济管理—产业经济]