关于GARCH-EVT-Copula的WCVaR鲁棒投资 组合模型.pdfVIP

Statistics and Application 统计学与应用, 2018, 7(1), 54-64 Published Online February 2018 in Hans. /journal/sa /10.12677/sa.2018.71008 Robust Portfolio Selection with GARCH-EVT-Copula Jiatao Lu School of Mathematics and Statistics, Beijing Institute of Technology, Beijing th th th Received: Feb. 5 , 2018; accepted: Feb. 20 , 2018; published: Feb. 28 , 2018 Abstract In this paper, a robust portfolio model is established under the assumption that the underlying dis- tribution is mixed and uncertain. Firstly, we use the GARCH-EVT model to describe the fat tail and heteroscedasticity characteristics of single financial asset return. Then we use Copula to describe the dependence structure between the yields, and establish the GARCH-EVT-Copula model. Finally, a mixture of uncertain multivariate distributions of returns is constructed using different Copula functions, and a robust portfolio model of GARCH-EVT-Copula-WCVaR is established on the basis of WCVaR-Copula robust model. Compared to the Normal-Copula-WCVaR robust model and the classic- al mean variance model in the experimental study, the return of GARCH-EVT-Copula-WCVaR robust model is higher than that of Normal-Copula-WCVaR robust model and mean variance model during the stock market crisis and the period when the volatility of return fluctuates. Keywords CVaR, GARCH, EVT, Copula, Robust Portfolio 基于GARCH-EVT-Copula的WCVaR鲁棒投资 组合模型 陆家涛 北京理工大学数学与统计学院，北京 收稿日期：2018年2月5 日；录用日期：2018年2月20 日；发布日期：2018年2月28 日 摘 要 本文在多种金融资产的收益率服从混合不确定多元分布的假设下，建立鲁棒投资组合模型。首先，使用 文章引用: 陆家涛. 基于GARCH-EVT-Copula 的WCVaR 鲁棒投资组合模型[J]. 统计学与应用, 2018, 7(1): 54-64. DOI: 10.12677/sa.2018.71008