| 基于G-H分布的copula-SMR方法 |
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| 引用本文： | 田凯,杨永愉.基于G-H分布的copula-SMR方法[J].北京化工大学学报(自然科学版),2012,39(1):122-127. |
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| 作者姓名： | 田凯 杨永愉 |
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| 作者单位： | 北京化工大学理学院,北京,100029;北京化工大学理学院,北京,100029 |
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| 摘 要： | 将阿基米德copula应用于谱风险度量（SMR），提出了一种新的风险度量方法（copula-SMR方法）。选取G-H分布对边缘分布进行建模，采用极大似然估计对给定的阿基米德copula进行参数估计，选择能更好拟合实际数据的copula函数，运用二次规划方法，计算相应的谱风险值，确定了在不同期望收益率下最优投资组合。
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| 关 键 词： | 阿基米德copula 投资组合优化配置 G-H分布 谱风险度量(SMR) |
| 收稿时间： | 2011-09-07 |
Analysis of copula-spectral measure of risk based on G-H distribution |
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| TIAN Kai YANG YongYu.Analysis of copula-spectral measure of risk based on G-H distribution[J].Journal of Beijing University of Chemical Technology,2012,39(1):122-127. |
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| Authors: | TIAN Kai YANG YongYu |
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| Institution: | School of Science, Beijing University of Chemical Technology，Beijing 100029，China |
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| Abstract: | The Archimedean copula theory has been employed in the calculation of spectral risk measure(SMR),and a new method of risk measurement(copula-SMR) has been put forward.The G-H distribution was used to construct the marginal distribution and estimate the parameters of the given Archimedean copula by the maximum likelihood method,and finally a better copula was chosen in order to fit the dependence of the actual data.A quadratic programming method was chosen to compute the SMR and determine the optimal portfolio coefficient for different expected rates of return. |
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| Keywords: | archimedean copula portfolio optimization allocation G-H distribution spectral risk measure(SMR) |
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