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Risk measuring of financial products on a Copula function.
- Source :
-
Xitong Gongcheng Lilun yu Shijian (Systems Engineering Theory & Practice) . mar2014, Vol. 34 Issue 3, p663-667. 5p. - Publication Year :
- 2014
-
Abstract
- The actual distribution and the dependence of financial asset returns are analyzed based on the character of Copula in this paper, a multivariate distribution function which can reflect the actual distribution and the dependence of financial asset returns is developed. An empirical research is done on the performance of the portfolio selection by Monte Carlo method before and after financial crisis in order to research the effect of measuring the actual distribution and dependence on portfolio selection of financial products. [ABSTRACT FROM AUTHOR]
Details
- Language :
- Chinese
- ISSN :
- 10006788
- Volume :
- 34
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Xitong Gongcheng Lilun yu Shijian (Systems Engineering Theory & Practice)
- Publication Type :
- Academic Journal
- Accession number :
- 96656424