Research on measurement of portfolio with tail correlation based on Copula

This paper uses Kendall τ to measure the nonlinear relation of assets, and uses Copula function to measure the tail correlation of assets portfolio, provides the basis for investors when they invest asset portfolio. The major character and innovation of the research is firstly that considering low tail correlation for investors is of great significance, we use Copula function model to measure tail correlation coefficient. Secondly, considering low tail correlation influence the portfolio´s risk, we select Clayton Copula to measure tail correlation coefficient which is more sensitive to the lower tail changes. Thirdly, we estimate parameter theta based on Kendall τ that ensure the accuracy of the parameter estimation.