An Empirical Study on Portfolio Risk Analysis Based on Copula - GARCH

DOI

10.2991/icesame-17.2017.420How to use a DOI?

Keywords

Copula-GARCH model, portfolio, Monte Carlo simulation, Risk Analysis.

Abstract

Based on Copula function and GARCH model, this paper establishes the Copula-GARCH-GED model to analyze the portfolio risk of four stocks in different industries-Minsheng Investment, Huayi Brothers, Renhe Pharmaceutical and Yanghe Shares in the Shenzhen stock market. And then, we use the Monte Carlo simulation method, in the case of different confidence coefficients and the minimum risk, to calculate the investment ratio of the four assets and obtain the portfolio of VaR.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Rui Wang
PY  - 2017/06
DA  - 2017/06
TI  - An Empirical Study on Portfolio Risk Analysis Based on Copula - GARCH
BT  - Proceedings of the 2017 2nd International Conference on Education, Sports, Arts and Management Engineering (ICESAME 2017)
PB  - Atlantis Press
SP  - 1985
EP  - 1990
SN  - 2352-5398
UR  - https://doi.org/10.2991/icesame-17.2017.420
DO  - 10.2991/icesame-17.2017.420
ID  - Wang2017/06
ER  -