The Portfolio Model Of Mean-Cvar Based On The Copula-garch

In today’s era of economic globalization, the financial market is closely related to people’s lives, thestock is an important part of financial market, so the stock of all kinds of characteristics has very importantsignificance. For every investor, how to choose the stock, and how to under the condition of the minimumrisk to choose the best investment portfolio strategy become the most concern. In fact, many scholars haveproblem how to ascertain the weight of investment between the stock market are studied, but the researchmethods have their own characteristics and the defects, is not a complete system. In this article, theauthor try to put the past scholars between the stock portfolio model analyzes the research method of theproblem, to integrate A more effective solution, and combining with China’s a-share market, the stockportfolio weights between selection problem for further analysis.At first, this paper sums up the total portfolio model of research status at home and abroad, andanalyzes the characteristics of various methods. On the basis of summarizing the predecessors’ researchresults, based on the understanding to the simple shares and shares of bank of the people’s livelihood, forexample, USES the most able to describe characteristics of a single financial assets yield data t-GARCHmodel has carried on the modeling of financial assets yield, to preliminary processing of data, find out themarginal distribution and concluded that the estimated parameters in model and residual error sequence.Considering the correlation between them, then chose several kinds of commonly used binary copulasconnect function model to modeling of the sequence of yield of the two stocks, then through the test ofgoodness of fit can choose the most describe the characteristics of the two stocks copulas connectfunction.At last on,Mean-CVaR equations are applied to solve the selection model, and using Monte Carlosimulation method, the analysis to our country stock market portfolio problems, the two stocks portfolio theoptimal combination weights and CVaR value as well as their variation under different confidencelevel.These models are better solved the problem of portfolio choice, for more stock or fund portfoliochoice between are applicable, has strong practical significance, read in multi-dimensional portfolio selection problem, whether in theory or in practice research, still needs further research..