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Symmetric Bernstein Copula

Author: WuXinRong
Tutor: ShiDaoJi
School: Tianjin University
Course: Applied Mathematics
Keywords: Copula Symmetric Bernstein Copula Experience Copula Survival Copula
CLC: F830.59
Type: Master's thesis
Year: 2007
Downloads: 48
Quote: 0
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Abstract


In order to diversify and reduce risk in many financial areas ( such as stocks , securities and exchange rates, etc. ) , investors tend to invest in a portfolio . This combination , the correlation between assets become dispersed and reduce the risk of critical . Copula because of its unique nature , in recent years, has been widely applied to describe the correlation structure between assets . Sklar any joint distribution can be decomposed into the marginal distributions and correlation structure . Applications the Copula to fit the structure of assets between related literature uncommon , but are usually single parameter Copula family . However, with the increasingly rich portfolio , the increasing complexity of the structure of the the single parameter Copula family has not fully reveal the correlation between each asset structure . The Bernstein Copula is a polynomial in the form of multi- parameter Copula family , existing literature currently use it to fit the correlation structure between the assets . The Bernstein Copula basis defined symmetrical Bernstein Copula, given the basic nature of the form of a theorem . Portfolio symmetrical structure , the paper describes the theory of symmetry Bernstein Copula relative to the superiority of BernsteinCopula single parameter Copula family , from application to prove the symmetry Bernstein Copula fitting effect is better than involved Copula family.

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