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2009•Mathematics in EconomicsRequires access

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

Xiao Lu

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Abstract

We used the multivariate Archimedean Copula to analyze the asymmetric dependence structrue 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.

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What this paper is about

We used the multivariate Archimedean Copula to analyze the asymmetric dependence structrue 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.

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Available abstract

We used the multivariate Archimedean Copula to analyze the asymmetric dependence structrue 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.

Key concepts: Copula (linguistics), Econometrics, Portfolio, Risk measure, Multivariate statistics, Value at risk, Computer science, Economics

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