2011•Unpublished venueRequires access

Risk Analysis of Portfolio Investment in Open-end Fund Based on Multivariate Copula-GARCH and Semi-parameter Estimation

Xicang Zhao

Abstract

Copula technique is used for risk analysis of portfolio investment in market of open-end fund in China.To avoid defects of classic Copula models in capturing tail of financial data,Copula-GARCH model with Semi-parameter estimation is built to fit marginal distribution of each fund neatly and to capture the dependence structure of portfolio investment in market of open-end fund.And using Monte Carlo simulation based on copula techniques and analyzing portfolio investment Value-at-risk,the results testify that the model is feasible and effective.

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Key concepts: Copula (linguistics), Portfolio, Econometrics, Economics, Autoregressive conditional heteroskedasticity, Marginal distribution, Value at risk, Portfolio optimization