摘要
为了解投资组合的相关性对投资组合损失(收益)的影响,论文从锐思研究数据库选取了九只股票进行研究。首先利用正态QQ图及密度曲线确定其边缘分布,然后利用AIC准则选定合适的Copula函数得到两个投资组合的联合分布,根据联合分布得到两个投资组合在相同概率下的分位数,即Va R值,发现相关系数大的投资组合Va R值更小,即损失更大。
In order to research the impact of correlation of portfolio on the loss and profit of portfolio, the paper selected nine stocks from RESSET database for research. Firstly, the distribution of the edge is determined by the normal QQ graph and the density curve, and then the joint distribution of the two portfolios is obtained by using the AIC criterion to select the appropriate Copula function. According to the joint distribution, we get the quantile of two portfolios under the same probability, that is Va R value. We find that the Va R value of the portfolio with large correlation coefficient is smaller, that is, the loss is greater.
出处
《中小企业管理与科技》
2018年第3期67-70,共4页
Management & Technology of SME
