摘要
利用加权平均法定义了复合Copula函数.基于复合Copula函数的性质定义了投资组合的风险测度值相对Copula-CVaR(RCCVaR).利用RCCVaR风险度量方法建立动态的均值-RCCVaR的投资组合选择模型.
The complex Copula function is defined by the method of weighted mean. The relative Copula- CVaR of portfolio risk measurement is defined by the property of the complex Copula function. With the use of RCCVaR risk measurement method, a dynamic mean -RCCVaR portfolio selection model is established.
作者
孙冲
杨盼盼
孙敏
SUN Chong;YANG Pan-pan;SUN Min(l.School of Computer Science and Technology,Shangqiu University,Shangqiu 476000,Chin;School of Economics,North China University of Science and Technology,Tangshan 063200,China)
出处
《云南民族大学学报（自然科学版）》
CAS
2018年第5期413-416,共4页
Journal of Yunnan Minzu University:Natural Sciences Edition
