Risk Analysis Based on Investment Structure Model
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DOI: 10.23977/eeim.2018.044
Corresponding Author
Jing Wang
ABSTRACT
In order to solve the problem of investment structure optimization under non-normal and nonlinear correlation, a new investment structure optimization method based on Pair Copula-SV-t is proposed. According to the existing optimization model of t-Copula-SV-t, the Pair Copula decomposition model is introduced into it, and the Pair Copula-SV-t model is constructed with the SV-t model to fit the expected return rate of the asset. The feasibility and effectiveness of the model are verified by corresponding empirical analysis.
KEYWORDS
Portfolio Optimization, Pair Copula, SV-T Model, Risk , CVAR
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