摘要
本文将核密度估计技术与Copula模型相结合，建立了投资组合分析的Copula--Kernel模型，对我国股票市场实际的组合投资问题进行了实证风险分析，分别计算了VaR和CVaR的值，并进行了比较，取得了满意的效果。
In this paper,Copula is combined with kernel density estimation, and a Copula-Kernel model is built to analyze the risk measure of portfolio investment in Chinese stock market. Then a satisfactory result is given after VaR and CVaR are calculated and compared by this model.
出处
《中国经济与管理科学》
2009年第5期118-120,共3页
Chinese Economy Management Science Magazine
