Risk Analysis of Portfolio Investment Based on Kernel Estimation and Multivariate Archimedean Copula
Zhang Shi-ying · Journal of Management Sciences · 2007
In modern portfolio optimization and risk management theory,it has been well known that the dependence among financial asset returns is one of the key factors in choosing optimal portfolio weights.Especially,it is very important to portray the asymmetric dependence among financial asset returns in studying the portfolio investment quantitatively.In this paper,the multivariate Archimedean Copula is used to analyze the asymmetric dependence structure among financial asset returns,whose marginal processes are captured by nonparametric kernel density estimation.Then,a Copula-Kernel model is built for risk analysis of portfolio investment.By this model and the risk measure VaR,empirical portfolio risk analysis is made in Chinese stock market.At last,the mini-VaR value of different confidence levels and the relative optimal investment weights are given under the principle of mini.risk.