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基于M-Copula函数的投资组合和相关风险研究-应用数学专业论文.docx

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ABSTRACTInthispaper,thesinglefinancialproductchooseEGARCH-Mmodeltofitting,andwiththeM-Copulafunctionconnecttomultiplesinglefinancialproduct,undertheconditionofGEDdistributionM-Copula-EGARCH-Mmodelisestablished,andunderacertainlevelofquantileuseMonteCarlotocalculatedifferentproportionofinvestmentrisk,namelythevalueoftheVaRandCVaR,,,alsoshowsthattheriskoftime-varyingskewnessandtime-varyingkurtosis,whichwemustconsiderthefinancialriskofproductofthird-orderandfourth-ordermoment(instantkurtosisandskewnessrisk).GJRSK-Mmodelcapturethehigherordermomentsofthefinancialproductriskisneedlesstosay,sointhispaper,usingittofitasinglefinancialproduct,theM-Copulafunctioncanconnectmultiplefinancialproductdistribution,andM-Copula-GJRSK-,,researchresultsareasfollows:PaperwasbasedonM-Copula-EGARCH-M--Mmodeloftheriskpremiumontheyieldofasinglefinancialproductmodeling,thejointdistributionofthelinkfunctionofM-Copulaconnect,icalgorithm,usingriskCVaRmeasurement(basedonGEDdistribution),underthecertainconditionofquantile,theproportionofdifferentinvestmentVaRandCVaRvalueistouseMonteCarlosimulationisobtained,-Copula-GJRSK--Mmodelfittingofthedistributionoffinancialproducts,theasymmetryofthesinglefinancialproductyieldandtime-varying,upyM-CopulaconnectfunctiontoconnectM-Copula-GJRSK-

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