风险依赖、一致性风险度量与投资组合——基于Mean-Copula-CVaR的投资组合研究

Journal of Financial Research

2016, Vol. 436

Issue (10): 159-173 DOI:

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Risk Dependence, Consistency Risk Measurement and Portfolio:
Based on Mean-Copula-CVaR Model

ZHANG Ji, XIE Yuantao, YANG Juan

University of International Business and Economics;
Chinese Academy of Science and Technology for Development

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Abstract In this paper, we put the risk dependence, consistency risk measurement and portfolio into an analytical framework, combined with Coupla-CVaR model and Mean-var portfolio theory to construct the investment portfolio model of Mean-Copula-CVaR, and effectively solve the consistency risk measurement and dependence. Using the Securities index, bank index and insurance index, we empirically analyze the differences of asset portfolio and the adequacy of risk measure among financial institutions on basis of linear dependence and complex dependence (Copula dependence).The results show that putting Copula model can more robustly and accurately predict the CVaR portfolio. However, there is no significant difference between different forms of Copula in this paper. The policy implication of this paper is that it is possible to underestimate the risk if we ignore the structure of complex risk dependence, thus affecting the effectiveness of asset allocation.

Key words： Risk Dependence Risk Measurement Mean-Copula-CVaR Portfolio

Received: 30 March 2016 Published: 01 January 1900

JEL分类号:	C14
	G11
	C22

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Cite this article:

ZHANG Ji,XIE Yuantao,YANG Juan. Risk Dependence, Consistency Risk Measurement and Portfolio:
Based on Mean-Copula-CVaR Model[J]. Journal of Financial Research, 2016, 436(10): 159-173.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V436/I10/159

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