基于 Pair-Copula-GARCH 模型与 CVaR 的时变投资组合优化∗

摘要

以过去的信息为条件，以一致性风险度量 CVaR 为优化目标，以组合收益率为约束条件，建立了时变投资组合优化模型，通过基于 pair-copula-GARCH 模型的蒙特卡洛模拟方法得到未来某时刻收益率的多个可能情景，并引入一个特殊函数实现了投资组合模型的线性化，得到了最优投资组合策略。最后针对提出的模型进行了实例分析。%On the basis of the historical information,aiming at minimum the coherent risk measure CVaR and regarding portfolio returns as constraint conditions,the time-varying portfolio optimization model was established.The linearization of portfolio investments model was achieved by introducing a special function and some possible scenarios representing future mo-ment returns,which can be calculated by the Monte Carlo simulation method based on the pair-copula-GARCH model.The model helps us get optimal portfolio investments strategy.Finally,the presented model was exemplified by a case.