2011•Caijing lilun yu shijianRequires access

Empirical Analysis about Portfolio selection of Copula

Gao Nannan

Abstract

In this paper,Copula and the forecast function of GARCH model are well combined,and a Copula-GARCH model is built for risk analysis of portfolio investment as it can describe the dependency structure of multi dimension random variable.By this model and Markowitz'portfolio selection model,empirical portfolio selection analysis is made in Chinese open end funds.The portfolio with minimum VaR when the yield is given is get by lingo8.0.

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Available abstract

Key concepts: Copula (linguistics), Portfolio, Econometrics, Post-modern portfolio theory, Portfolio optimization, Autoregressive conditional heteroskedasticity, Economics, Modern portfolio theory