Title :
A new method for dynamic portfolio choice based on copulas
Author :
Xu Qifa ; Liu Shaojie ; Liu Jingdong
Author_Institution :
Sch. of Stat., Shandong Inst. of Bus. & Technol., Yantai, China
Abstract :
Multivariate volatility modeling is always a hot topic in academic research. It is difficult to consider how to construct multivariate joint distribution. Copulas, a statistic method, can be used to decompose multivariate joint distribution into marginal distribution and correlation structure. This advantage is applied into calculating the dynamic VaR of a portfolio in the paper. Furthermore, a new model for dynamic portfolio choice based on copulas is proposed, and empirical analysis is operated in the end.
Keywords :
investment; statistical distributions; copulas statistical method; correlation structure; dynamic portfolio choice method; marginal distribution; multivariate joint distribution; multivariate volatility modeling; portfolio value-at-risk; Biological system modeling; Finance; Indexes; Investments; Mathematical model; Optimization; Portfolios; EWMA model; GARCH model; copula; dynamic portfolio; value at risk;
Conference_Titel :
Natural Computation (ICNC), 2010 Sixth International Conference on
Conference_Location :
Yantai, Shandong
Print_ISBN :
978-1-4244-5958-2
DOI :
10.1109/ICNC.2010.5582625
