Analysis of Dependence Structure Effects on Portfolio Based on Copula

摘要

By using Copulas to model the co-movement between asset returns, the optimal portfolio choices which maximize the constant relative risk aversion power utility function are gained, and the influences of different Copulas on portfolio choices are analyzed. Evidence shows that when under different relative risk aversions and the co-movement is modeled by Frank, Gumbel, Clayton and bb1 Copulas, the optimal portfolio choices w on high income with high risks asset follows:wfrank