Research on Measurement of Portfolio with Tail Correlation Based on Copula

摘要：

This paper uses Kendall to measure the nonlinear relation of assets, and uses Copula function to measure the tail correlation of assets portfolio, provides the basis for investors when they invest asset portfolio. The major character and innovation of the research is firstly that considering low tail correlation for investors is of great significance, we use Copula function model to measure tail correlation coefficient. Secondly, considering low tail correlation influence the portfolio’s risk, we select Clayton Copula to measure tail correlation coefficient which is more sensitive to the lower tail changes. Thirdly, we estimate parameter theta based on Kendall that ensure the accuracy of the parameter estimation.

关键词： portfolio tail correlation copula nonparametric estimation

作者: Fu Ying Liu Yanping Wang Shuai

作者单位: Faculty of Management and EconomicsDalian University of TechnologyDalian, China School of Management Purdue University Calumet Hammond, IN, USA

会议类型: 国际会议

会议名称: 2011 International Conference on Business Management and Electronic Information(2011商业管理与电子信息国际学术会议 BMEI2011)

会议地点: 广州

会议语种:英文

页码: 1-4

在线出版日期: 2011-05-13（万方平台首次上网日期，不代表论文的发表时间）