Analyzing Portfolios Based on Tail Dependence Coefficients

摘要

For the sake of finding the portfolios with low risk and high return, copula function is used to compute the tail dependence coefficient. We present the investment ratio function of value-at-risk of portfolio, and use the tail dependence coefficient to research value-at-risk of portfolio. We propose to use the curve of portfolio value and the curve of portfolio value-at-risk to analyze investment ratio. Empirical research shows that according to the curve of portfolio value and the curve of portfolio value-at-risk to analyze investment ratio, the portfolio with low risk and high return can be found out.