基于复合Copula函数的动态投资组合选择模型的研究  

A study of a dynamic portfolio selection model based on a complex Copula function

作　　者：孙冲 杨盼盼 孙敏 SUN Chong;YANG Pan-pan;SUN Min(l.School of Computer Science and Technology,Shangqiu University,Shangqiu 476000,Chin;School of Economics,North China University of Science and Technology,Tangshan 063200,China)

机构地区：[1]商丘学院计算机工程学院,河南商丘476000 [2]华北理工大学经济学院,河北唐山063200

出　　处：《云南民族大学学报（自然科学版）》2018年第5期413-416,共4页Journal of Yunnan Minzu University:Natural Sciences Edition

摘　　要：利用加权平均法定义了复合Copula函数.基于复合Copula函数的性质定义了投资组合的风险测度值相对Copula-CVaR(RCCVaR).利用RCCVaR风险度量方法建立动态的均值-RCCVaR的投资组合选择模型.The complex Copula function is defined by the method of weighted mean. The relative Copula- CVaR of portfolio risk measurement is defined by the property of the complex Copula function. With the use of RCCVaR risk measurement method, a dynamic mean -RCCVaR portfolio selection model is established.

关 键 词：加权平均法 复合Copula函数 投资组合选择模型 

分 类 号：F832[经济管理—金融学]