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基于vine copula模型的全球证券市场间投资组合优化及风险度量
发表时间：2018-10-15 浏览量：1723 下载量：415
| 全部作者： | 赵子然，王斌会 |
| 作者单位： | 暨南大学经济学院；暨南大学管理学院 |
| 摘 要： | 引入vine copula模型描述全球8个股票市场指数在2008年金融危机及其前后3个时期的联合分布，并采用蒙特卡洛模拟给出了条件风险价值（conditional value at risk，CVaR）最小时3个时期的最优投资权重。通过这3个时期的对比发现，股票市场间普遍存在对称、厚尾的相依结构，香港恒生指数和韩国KOSPI指数在全球股票市场间起到了枢纽中心的连接作用，2008年金融危机的发生使全球股票市场间的联系愈发紧密，从中也可以得出合理配置避险资产的投资建议。同时，相比C-vine和D-vine模型，R-vine模型能更好地刻画股票市场间较复杂的相关性结构。 |
| 关 键 词： | 数理统计学；投资权重；vine copula；相依结构；证券市场 |
| Title： | Optimization and risk measurement of portfolios in the global stock markets based on the vine copula model |
| Author： | ZHAO Ziran, WANG Binhui |
| Organization： | College of Economics, Jinan University; School of Management, Jinan University, |
| Abstract： | This paper brings in vine copula model to describe the joint distribution of eight stock market indexes before, during and after financial crisis in 2008. Then the optimal investment weights that minimize the conditional value at risk (CVaR) in the three periods can be given by Monte Carlo simulation. Comparison of the results in the three periods shows worldwide financial crisis causes higher dependence between stock markets which has symmetry and thick tail features. Hong Kong’s Hang Seng index and South Korea’s KOSPI index play a key role in connecting with other stock markets. In 2008, the financial crisis made the world’s stock markets more interconnected. Investment strategies showing how to avoid risk by reasonable configuration can also be concluded. Meanwhile, compared with C-vine and D-vine copula, R-vine copula can measure the complex correlation structures of stock markets better. |
| Key words： | mathematical statistics; investment weights; vine copula; dependence structure; stock markets |
| 发表期数： | 2018年10月第19期 |
| 引用格式： | 赵子然，王斌会. 基于vine copula模型的全球证券市场间投资组合优化及风险度量[J]. 中国科技论文在线精品论文，2018，11（19）：1948-1960. |
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