基于Pair-Copula-GARCH模型与CVaR的时变投资组合优化  

Time-varying Portfolio Optimizing Based on Pair-Copula-GARCH Model and CVaR

作　　者：徐晓波[1] 李述山[1] 叶杨[1] 

机构地区：[1]山东科技大学数学与系统科学学院,山东青岛266590

出　　处：《经济数学》2015年第1期42-46,共5页Journal of Quantitative Economics

摘　　要：以过去的信息为条件,以一致性风险度量CVaR为优化目标,以组合收益率为约束条件,建立了时变投资组合优化模型,通过基于pair-copula-GARCH模型的蒙特卡洛模拟方法得到未来某时刻收益率的多个可能情景,并引入一个特殊函数实现了投资组合模型的线性化,得到了最优投资组合策略.最后针对提出的模型进行了实例分析.On the basis of the historical information,aiming at minimum the coherent risk measure CVaR and regarding portfolio returns as constraint conditions,the time-varying portfolio optimization model was established.The linearization of portfolio investments model was achieved by introducing a special function and some possible scenarios representing future moment returns,which can be calculated by the Monte Carlo simulation method based on the pair-copula-GARCH model.The model helps us get optimal portfolio investments strategy.Finally,the presented model was exemplified by a case.

关 键 词：PAIR-COPULA GARCH模型 时变CVaR 投资组合优化 

分 类 号：F224[经济管理—国民经济]