本文選題：MRS　切入點(diǎn)：Copula-ARJI-GARCH模型　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：多樣化投資一直是規(guī)避風(fēng)險(xiǎn)的主要手段，在國際金融格局變遷、潛在金融風(fēng)險(xiǎn)加劇的現(xiàn)實(shí)背景下，投資組合的風(fēng)險(xiǎn)管理和構(gòu)建受到越來越廣泛的關(guān)注，成為目前的一個(gè)熱點(diǎn)問題。而投資組合的風(fēng)險(xiǎn)度量、資產(chǎn)聯(lián)合分布的構(gòu)建以及資產(chǎn)間相關(guān)性的刻畫又是該熱點(diǎn)問題的核心要素。針對(duì)目前已有研究在這三者設(shè)定中的不足之處，本文在綜合考慮資產(chǎn)間非對(duì)稱相關(guān)結(jié)構(gòu)和資產(chǎn)收益率跳躍特征的基礎(chǔ)上，構(gòu)建一個(gè)MRS Copula-ARJI-GARCH模型，進(jìn)行資產(chǎn)組合動(dòng)態(tài)VaR估計(jì)和投資組合優(yōu)化的研究。 本文首先進(jìn)行相關(guān)理論分析，定性論證MRS Copula-ARJI-GARCH模型能夠提高投資組合VaR估計(jì)的準(zhǔn)確性和投資組合優(yōu)化的有效性。接著構(gòu)建MRS Copula-ARJI-GARCH模型，采用該模型并結(jié)合Monte Carlo模擬估計(jì)得到行業(yè)股指組合的VaR值，通過風(fēng)險(xiǎn)控制圖、失敗率檢驗(yàn)方法以及區(qū)間預(yù)測(cè)檢驗(yàn)法將其與MRSCopula-GARCH-t模型、MRS Copula-GARCH-n模型、動(dòng)態(tài)Copula-GARCH-t模型以及動(dòng)態(tài)Copula-GARCH-n模型的VaR估計(jì)效果進(jìn)行比較，從而定量說明本文構(gòu)建的模型能夠提高投資組合VaR估計(jì)的準(zhǔn)確性。最后，分別在風(fēng)險(xiǎn)最小化策略、收益最大化策略和效用最大化策略下構(gòu)建Mean-VaR投資組合模型，基于MRSCopula-ARJI-GARCH模型進(jìn)行投資組合優(yōu)化。 研究結(jié)果表明，MRS Copula-ARJI-GARCH模型在VaR的估計(jì)中能更全面地反映資產(chǎn)組合極端收益的可能性，可以有效提高VaR估計(jì)的準(zhǔn)確性，能夠幫助投資者制定更鄭重的投資組合決策，包括在收益一定的情況下實(shí)現(xiàn)投資組合風(fēng)險(xiǎn)最小，在風(fēng)險(xiǎn)一定的情況下實(shí)現(xiàn)投資組合收益最大以及在同時(shí)考慮收益和風(fēng)險(xiǎn)時(shí)實(shí)現(xiàn)效用最大化。
[Abstract]:Diversification investment has always been the main means to avoid risks. Under the background of the change of international financial structure and the intensification of potential financial risks, the risk management and construction of portfolio has been paid more and more attention. The risk measurement of portfolio, the construction of joint distribution of assets and the characterization of the correlation between assets are the core elements of this hot issue. On the basis of considering the asymmetric correlation structure between assets and the characteristics of asset return jump, this paper constructs a MRS Copula-ARJI-GARCH model to study the dynamic VaR estimation and portfolio optimization of asset portfolio. In this paper, we first analyze the relevant theories, and qualitatively prove that MRS Copula-ARJI-GARCH model can improve the accuracy of portfolio VaR estimation and the efficiency of portfolio optimization, and then construct MRS Copula-ARJI-GARCH model. Using the model and Monte Carlo simulation to estimate the VaR value of the industry stock index portfolio, the paper uses the risk control chart, the failure rate test method and the interval prediction test method to combine it with the MRSCopula-GARCH-t model and Mrs Copula-GARCH-n model. The results of VaR estimation of dynamic Copula-GARCH-t model and dynamic Copula-GARCH-n model are compared to quantitatively demonstrate that the proposed model can improve the accuracy of portfolio VaR estimation. The Mean-VaR portfolio model is constructed under the profit maximization strategy and the utility maximization strategy, and the portfolio optimization is carried out based on the MRSCopula-ARJI-GARCH model. The results show that Mrs Copula-ARJI-GARCH model can more comprehensively reflect the possibility of extreme return of portfolio in the estimation of VaR, can effectively improve the accuracy of VaR estimation, and can help investors to make more solemn portfolio decisions. It includes realizing the minimum portfolio risk in the case of a certain return, maximizing the portfolio return in the case of a certain risk, and maximizing the utility when both the income and the risk are considered.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.59;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前4條

1 凌衛(wèi)平;范麗紅;;我國滬市股價(jià)波動(dòng)性的實(shí)證分析[J];北方經(jīng)濟(jì);2006年10期

2 羅付巖;鄧光明;;基于時(shí)變Copula的VaR估計(jì)[J];系統(tǒng)工程;2007年08期

3 任仙玲;葉明確;張世英;;基于Copula-APD-GARCH模型的投資組合有效前沿分析[J];管理學(xué)報(bào);2009年11期

4 馬驥,郭睿;中國股票市場(chǎng)波動(dòng)性的實(shí)證分析[J];哈爾濱工業(yè)大學(xué)學(xué)報(bào);2004年06期

，

本文編號(hào)：1648398