本文選題：MRS　切入點：Copula-ARJI-GARCH模型　出處：《湖南大學》2013年碩士論文　論文類型：學位論文

【摘要】：多樣化投資一直是規(guī)避風險的主要手段，在國際金融格局變遷、潛在金融風險加劇的現實背景下，投資組合的風險管理和構建受到越來越廣泛的關注，成為目前的一個熱點問題。而投資組合的風險度量、資產聯(lián)合分布的構建以及資產間相關性的刻畫又是該熱點問題的核心要素。針對目前已有研究在這三者設定中的不足之處，本文在綜合考慮資產間非對稱相關結構和資產收益率跳躍特征的基礎上，構建一個MRS Copula-ARJI-GARCH模型，進行資產組合動態(tài)VaR估計和投資組合優(yōu)化的研究。 本文首先進行相關理論分析，定性論證MRS Copula-ARJI-GARCH模型能夠提高投資組合VaR估計的準確性和投資組合優(yōu)化的有效性。接著構建MRS Copula-ARJI-GARCH模型，采用該模型并結合Monte Carlo模擬估計得到行業(yè)股指組合的VaR值，通過風險控制圖、失敗率檢驗方法以及區(qū)間預測檢驗法將其與MRSCopula-GARCH-t模型、MRS Copula-GARCH-n模型、動態(tài)Copula-GARCH-t模型以及動態(tài)Copula-GARCH-n模型的VaR估計效果進行比較，從而定量說明本文構建的模型能夠提高投資組合VaR估計的準確性。最后，分別在風險最小化策略、收益最大化策略和效用最大化策略下構建Mean-VaR投資組合模型，基于MRSCopula-ARJI-GARCH模型進行投資組合優(yōu)化。 研究結果表明，MRS Copula-ARJI-GARCH模型在VaR的估計中能更全面地反映資產組合極端收益的可能性，可以有效提高VaR估計的準確性，能夠幫助投資者制定更鄭重的投資組合決策，包括在收益一定的情況下實現投資組合風險最小，在風險一定的情況下實現投資組合收益最大以及在同時考慮收益和風險時實現效用最大化。
[Abstract]:Diversification investment has always been the main means to avoid risks. Under the background of the change of international financial structure and the intensification of potential financial risks, the risk management and construction of portfolio has been paid more and more attention. The risk measurement of portfolio, the construction of joint distribution of assets and the characterization of the correlation between assets are the core elements of this hot issue. On the basis of considering the asymmetric correlation structure between assets and the characteristics of asset return jump, this paper constructs a MRS Copula-ARJI-GARCH model to study the dynamic VaR estimation and portfolio optimization of asset portfolio. In this paper, we first analyze the relevant theories, and qualitatively prove that MRS Copula-ARJI-GARCH model can improve the accuracy of portfolio VaR estimation and the efficiency of portfolio optimization, and then construct MRS Copula-ARJI-GARCH model. Using the model and Monte Carlo simulation to estimate the VaR value of the industry stock index portfolio, the paper uses the risk control chart, the failure rate test method and the interval prediction test method to combine it with the MRSCopula-GARCH-t model and Mrs Copula-GARCH-n model. The results of VaR estimation of dynamic Copula-GARCH-t model and dynamic Copula-GARCH-n model are compared to quantitatively demonstrate that the proposed model can improve the accuracy of portfolio VaR estimation. The Mean-VaR portfolio model is constructed under the profit maximization strategy and the utility maximization strategy, and the portfolio optimization is carried out based on the MRSCopula-ARJI-GARCH model. The results show that Mrs Copula-ARJI-GARCH model can more comprehensively reflect the possibility of extreme return of portfolio in the estimation of VaR, can effectively improve the accuracy of VaR estimation, and can help investors to make more solemn portfolio decisions. It includes realizing the minimum portfolio risk in the case of a certain return, maximizing the portfolio return in the case of a certain risk, and maximizing the utility when both the income and the risk are considered.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.59;F224

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本文編號：1648398