An Empirical Study on Portfolio Risk Analysis Based on Copula - GARCH

被引：0
|
作者：
Wang, Rui [1 ]
机构：
[1] Univ Sci & Technol Beijing, Dept Math & Phys, 30 Xueyuan Rd, Beijing 100083, Peoples R China
来源：
PROCEEDINGS OF THE 2017 2ND INTERNATIONAL CONFERENCE ON EDUCATION, SPORTS, ARTS AND MANAGEMENT ENGINEERING (ICESAME 2017) | 2017年 / 123卷
关键词：
Copula-GARCH model; portfolio; Monte Carlo simulation; Risk Analysis;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
Based on Copula function and GARCH model, this paper establishes the Copula-GARCH-GED model to analyze the portfolio risk of four stocks in different industries-Minsheng Investment, Huayi Brothers, Renhe Pharmaceutical and Yanghe Shares in the Shenzhen stock market. And then, we use the Monte Carlo simulation method, in the case of different confidence coefficients and the minimum risk, to calculate the investment ratio of the four assets and obtain the portfolio of VaR.
引用
收藏
页码：1985 / 1990
页数：6
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