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| 基于多维Gumbel Copula函数的投资组合VaR分析 | |
| 引用本文： | 王久胜,包卫军,胡杰.基于多维Gumbel Copula函数的投资组合VaR分析[J].数理统计与管理,2010,29(1). |
| 作者姓名： | 王久胜 包卫军 胡杰 |
| 作者单位： | 1. 西安理工大学工商管理学院,陕西,西安,710048 2. 西安交通大学经济与金融学院,陕西,西安,710061 3. 陕西师范大学国际商学院,陕西,西安,710072 |
| 摘 要： | 基于目前国内有关Copula函数的实证研究主要是研究二种资产的相关性为主,文章根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上具有的优势,首先利用GJR模型构建资产的边缘分布,接着利用多元阿基米德Copula函数族中的Gumbel Copula函数构建了反映多个资产收益实际分布和相关性的联合分布函数,并使用蒙特卡罗模拟技术,分析在不同置信度下的投资组合的最小风险价值(VaR)及其资产组成,实证说明根据文章提出的模型度量资产的风险,可以使投资者选择的资产更加稳健,同时也有利于投资者对投资组合整体风险进行分散和监管。 |
| 关 键 词： | 蒙特卡罗 投资组合 阿基米德Copula 风险价值 |
Portfolio VaR Analyses Based on the Multi-dimensional Gumbel Copula Function |
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| WANG Jiu-sheng,BAO Wei-jun,HU Jie.Portfolio VaR Analyses Based on the Multi-dimensional Gumbel Copula Function[J].Application of Statistics and Management,2010,29(1). | |
| Authors: | WANG Jiu-sheng BAO Wei-jun HU Jie |
| Institution: | WANG Jiu-sheng~1 BAO Wei-jun~2 HU Jie~3 (1.School of Business & Administration,Xi\'an Technology University,Shaanxi Xi\'an 710048,China,2.School of Economics & Finance,Xi\'an Jiaotong University,Shaanxi Xi\'an 710061,3.School of International Business,ShanXi Normal University,Shaanxi Xi\'an 710072,China) |
| Abstract: | Based on the fact that the current domestic empirical research on Copula is mainly to examine two kinds of assets,this paper first constructs assests' marginal distribution with the help of the GJR model,then it constructs a joint distribution with Gumbel Copula Function according the advantage of the Copula function in reflecting the actual distribution of random variables associated.With the use of Monte Carlo simulation technology,the minimum VaR of the different confidence level and the composition of a... |
| Keywords: | Monte Carlo portfolio Archimedean Copula VaR |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |