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国际多元化需要对投资组合的相关结构进行动态性测度,这样才能提供更有效的资产配置策略和资金的理想避险场所。当前资产组合相关结构的Copula分析中考虑变结构和时变性不足,在此基础上构建了包含变结构和时变的诊断方法——分布函数距离法和Vuong-Clarke法在内的Copula动态性诊断方法,同时将二维诊断问题推广至多维情形,接着利用模拟仿真验证了上述方法的有效性。最后将动态Copula应用于金砖国家和西方成熟市场的最优投资组合中,利用标准差、CVaR和DVaR并结合样本预测外推法对最优投资组合进行了评价分析。实证结果表明,最优投资组合策略受Copula动态性影响明显,金砖国家市场在国际金融危机影响下能发挥良好的风险规避作用,实时的动态性诊断方法也能帮助投资者更快速地调整投资策略。
International diversification requires a dynamic measure of the relative structure of the portfolio in order to provide an ideal safe haven for more efficient asset allocation strategies and funding. In the Copula analysis of the current portfolio structure, we consider the variable structure and time-varying deficiencies. On the basis of this, we construct the diagnostic method of Copula, which includes the variable structure and the time-varying method, and the distributed function distance method and the Vuong-Clarke method Method, at the same time, the two-dimensional diagnosis problem is generalized to the multidimensional situation, and the validity of the above method is verified by simulation. Finally, Dynamic Copula is applied to the optimal investment portfolio of BRICS and mature markets in western countries. The optimal portfolio is evaluated using standard deviation, CVaR and DVaR combined with sample prediction extrapolation. The empirical results show that the optimal portfolio strategy is significantly affected by the Copula dynamics. The BRICS market can play a good role in risk aversion under the influence of the international financial crisis. The real-time dynamic diagnosis method can also help investors to adjust their investment more rapidly Strategy.