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Risk Analysis of Portfolio by Archimedean Copula

Author: GuoHui
Tutor: ShiDaoJi
School: Tianjin University
Course: Applied Mathematics
Keywords: Archimedean Copula Portfolio Theory VaR Parameter estimation
CLC: F830.59
Type: Master's thesis
Year: 2007
Downloads: 189
Quote: 2
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Abstract


The investment portfolio is the first of the problems faced by all investors started to invest . The so-called portfolio construction is a study to determine the proportion of the assets included in the portfolio and the corresponding allocation of funds . Portfolio risk control has been a hot issue since Markowitz 's portfolio theory has been put forward . The key issue is to determine an appropriate combination of factors as small as possible , so that the risk of the portfolio . Therefore, the foothold on how the information already in the market , in the judge rules , the optimal allocation of funds . Traditional portfolio theory using a linear correlation coefficient to describe dependencies between assets . With the continuous development of the financial markets , the increasingly complex relationship between the financial markets and financial assets , in modern risk management using only linear correlation coefficient is not enough to study the correlation Archimedean Copula introduced to the mix investment theory , it is better to make up for the lack of dependency description . In applied research , analysis of China 's stock market portfolio , the actual data from the Archimedean Copula family choose to better fit the actual data dependencies on Copula . Selected Copula portfolio risk analysis , the optimal allocation of funds .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Investment
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