Analyzing Portfolios Based on Tail Dependence Coefficients

摘要：

For the sake of finding the portfolios with low risk and high return, copula function is used to compute the tail dependence coefficient. We present the investment ratio function of value-at-risk of portfolio, and use the tail dependence coefficient to research value-at-risk of portfolio. We propose to use the curve of portfolio value and the curve of portfolio value-at-risk to analyze investment ratio. Empirical research shows that according to the curve of portfolio value and the curve of portfolio value-at-risk to analyze investment ratio, the portfolio with low risk and high return can be found out.

关键词： tail dependence coefficient copula portfolio value-at-risk (VαR)

作者: Shide Ou Danhui Yi

作者单位: School of Statistics,Renmin University of China,Beijing, 100872, China Dept.of Maths and Computer Sc School of Statistics, Renmin University of China,Beijing, 100872, China

会议类型: 国际会议

会议名称: 2010 IEEE International Conference on Emergency Management and Management Sciences(2010 IEEE应急管理与管理科学国际会议 ICEMMS)

会议地点: 北京

会议语种:英文

页码: 152-156

在线出版日期: 2010-08-08（万方平台首次上网日期，不代表论文的发表时间）