Portfolio Optimization via Copula-EGARCH-CVaR Model

摘要：

By combining Copula approaches, Copula-EGARCH model which describes the joint distribution of portfolio return is established. This model not only describes the properties, such as Leptokurtosis and fat tail, volatility clustering, leverage effect, asymmetric volatility etc, but also captures the nonlinear correlation between two assets, which compared with the traditional normal hypothesis of return distribution is more consistent to reality. Based on this model, the CVaR-Mean model of portfolio selection under no short sale constraint is solved by Monte Carlo simulation. The optimal investment strategies and efficient frontiers of Gaussian Copula and t-Copula are derived.

关键词： Copula EGARCH CVaR Monte Carlo simulation Portfolio Optimization

作者: GUO Wenjing XU Shaoli

作者单位: School of Finance, Nanjing University of Finance & Economics.Jiangsu Nanjing, 210046, P.R.China; Sch School of Finance, Nanjing University of Finance & Economics.Jiangsu Nanjing, 210046, P.R.China

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: 1-8

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）