期刊文献+

基于藤结构Copula的投资组合高维风险测度研究 被引量:1

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作者 王璐
出处 《学术动态(成都)》 2010年第4期18-21,共4页
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同被引文献19

  • 1史道济,姚庆祝.改进Copula对数据拟合的方法[J].系统工程理论与实践,2004,24(4):49-55. 被引量:35
  • 2李秀敏,史道济.金融市场组合风险的相关性研究[J].系统工程理论与实践,2007,27(2):112-117. 被引量:34
  • 3Harry M. Markowitz. Portfolio Selection [ J ]. Journal of Finance, 1952, 7 (1): 77-91.
  • 4William F. Sharpe. Capital asset price : A theory of market equi- librium under conditions of risk [ J ]. The Journal of Finance, 1964, 19 (3): 425-442.
  • 5John Lintner. The valuation of risk assets and the selection of risky investments in stock poiffolios and capital budgets [ J ]. The Review of Economics and Statistics, 1965, 47 (1) : 13 -37.
  • 6Ross, Steven. The Arbitrage Theory of Capital Asset Pricing [ J]. Journal of Economic Theory, 1976 (13) : 341 - 360.
  • 7Minnik and Rachev. Modeling Asset Returns with Alternative Stable Models [J]. Econometric Reviews , 1993, 12 (3): 261 - 330.
  • 8ST Rachev, C Menn, FJ Fabozzi Fat - tailed and skewed asset return distributions: Implications for risk management, portfolio selection, and option pricing [ M ]. Wiley : New Jersey. 2005.
  • 9Rachev S. and Samorodnitsky G.. Long Strange Segments in a Long Range Dependent Moving Average. Stochastic Processes and their Applications , 2001, 93 (1) : 119 -148.
  • 10Embrechts, P., McNeil, A. and Straumann, D. Correlation and Dependence in Risk Management: Properties and Pitfalls. In M. Dempster (ed.), Risk Management: Value at Risk and Be- yond, Cambridge University Press : Cambridge. 2002.

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