摘要
在对Markowitz资产组合选择理论的局限性,以及金融资产收益率的实际分布与相关性进行分析的基础上,根据Copula函数在构建反映随机变量实际分布与相关性的联合分布函数上具有的优势,构建了反映组合资产收益实际分布和相关性的联合分布函数。为了研究度量收益率的实际分布和相关性对资产组合选择的影响,以投资者具有常相对风险回避效用函数为假设条件,根据所构建的联合分布函数和中国证券市场的数据,采用动态返回测试方法进行实证研究。
Firstly, the drawbacks of Markowitz＇s portfolio selection theory, the actual distribution and the dependence of financial asset returns are analyzed in this paper, Then based on the character of Copula, a multivariate distribution function which can reflect the actual distribution and the dependence of financial asset returns is developed. Finally, on the assumption of investor＇s CRRA utility function, using the developed multivariate distributions and the data from China security market, empirical research is done on the performance of the portfolio selection by dynamic back test in order to research the effect of measuring the actual distribution and dependence on portfolio selection.
出处
《系统管理学报》
北大核心
2007年第6期628-635,共8页
Journal of Systems & Management
基金
国家自然科学基金资助项目(70603034)
关键词
度量
厚尾分布
极值相关
COPULA函数
资产组合
绩效评价
measuring
fat tail distribution
extreme value dependence
Copula function
portfolio selection
performance evaluation
