Estimating And Managing Risk Of Gold And Oil Futures Portfolio

Gold is always a monetary equivalent,petroleum is an important energy in modern society, so gold and oil is particularly important in the world economic development process. However, we should not be overlooked that gold and oil prices in recent years performancing a sharp spike phenomenon. The severe instability of gold and oil prices can not only affect the investors, but also affect the development of whole economy. Therefore, scientific and effective to estimate and management risk of gold and oil is not only the issue which the investors need to consider, especially in relation to the important factors of economic development.Based on the above conclusions, this paper summarizes and discusses the domestic and foreign existing research results. We combined the theoretical and empirical methods, estimating the risk of oil and their combination, at the same time, based on this, we choosed the best gold and oil investment portfolio. We choosed the WTI and COMEX from January2,2005to December30,2011as the research object. Using GARCH-EVT-VaR model to measure the oil and gold risk, and using Copula-GARCH-EVT model to measure the risk of gold and oil futures portfolio. By returning the test shows that, the above two models are good for the estimation of VaR, so the VaR is acceptable.We analyzed11groups of different weights of gold and oil investment combination, the results show that the risk of gold and oil futures portfolio is less than the risk of gold or oil. In the11groups, The risk of the portfolio containing70%weights of gold futures and30%weight oil futures is minimization. The above results provide a reference to investors.