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基于copulagarch的投资组合风险分析
缪柏其1; 吴振翔2; 陈敏2; 叶五一1
2006
Source Publication系统工程理论与实践
ISSN1000-6788
Volume26Issue:3Pages:45
Abstract结合Copula及GARCH模型的预报功能,建立了投资组合风险分析的Copula-GARCH模型.利用这个模型,对我国股票市场实际组合投资问题进行了风险分析,并给出了最小风险组合的具体形式.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/48410
Collection应用数学研究所
Affiliation1.中国科学技术大学
2.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
缪柏其,吴振翔,陈敏,等. 基于copulagarch的投资组合风险分析[J]. 系统工程理论与实践,2006,26(3):45.
APA 缪柏其,吴振翔,陈敏,&叶五一.(2006).基于copulagarch的投资组合风险分析.系统工程理论与实践,26(3),45.
MLA 缪柏其,et al."基于copulagarch的投资组合风险分析".系统工程理论与实践 26.3(2006):45.
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