二元Copula函数的投资组合模型选择

Coplua模型是组合投资风险评估中常用模型,它具有多种不同的类型,模型选择的好坏对风险评估结果具有至关重要的影响.本文主要比较了二元正态Copula模型和二元t-Copula模型对中国股市数据拟合的优劣程度.针对这两种模型,利用上证综指、深证成指、上证基金、深证基金、东风汽车、中国石化、宝钢股份和万家乐的日收盘价数据估计相应的参数得到相应的拟合分布,然后分别与经验Copula函数作比较,通过计算拟合分布与经验分布之间的距离,得出二元t-Cop-ula函数能更好地拟合两组投资组合的日收益率数据的结论.

Bivariate Copula Function of Portfolio Model Selection

Coplua model is commonly used in the portfolio risk assessment, it has many different types of mod- els, stand or fall of model selection has a crucial influence on the risk assessment result. This essay compares bivari- ate normal Copula model with bivariate t- Copula model on China＇ s strengths mid weaknesses of the stock market by fitting the data. For both models, using Shanghai Composite Index, Shenzhen Component Index, SSE Fund, Shenz- hen Securities Fund ,Dongfeng Motor,Sinopec, Baosteel and Macro＇s closing price data estimates the corresponding parameters of the corresponding fitting distribution, then compares with the experience of Copula functions separate- ly. By calculating the distance between fitted distribution and the empirical distribution, the essay comes to a conclu- sion that the bivariate t - Copula function is better fitting the daily yield rate data of the two investment portfolios.