Author(s)

Jing Wang

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