Analysis of Dependence Structure Effects on Portfolio Based on Copula

摘要：

By using Copulas to model the co-movement between asset returns, the optimal portfolio choices which maximize the constant relative risk aversion power utility function are gained, and the influences of different Copulas on portfolio choices are analyzed. Evidence shows that when under different relative risk aversions and the co-movement is modeled by Frank, Gumbel, Clayton and bb1 Copulas, the optimal portfolio choices w on high income with high risks asset follows:wfrank<wgumbel<wclayton<wbb1.

关键词： Copula structure effects portfolio

作者: QIN Weiliang YAN Huashi MEN Kepei

作者单位: Department of Statistics, Nanjing University of Information Science and Technology, Nanjing, P.R., China, 210044

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-6

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）