Multiple mental account portfolio's VaR model and fund risk management based on Copula theory
Ping Li · Systems Engineering - Theory & Practice · 2011
We improve the VaR model based on Copula theory and Shefrin and Statman's behavior portfolio theory and multiple mental account theory,adding the subjective parameters reflecting risk manager's expectation and risk attitude,such that risk measurement and management can be built on theNew 3P-Probability,Prospect and Preference.Then we give a new approach to risk forecasting and optimizing of investment weight for fund portfolios.