Study On The Portfolio And Risk Measurement Of Chinese Stock

With the rapid development of science and technology,the information transmission is more and more fast,the national financial markets on the global economic information more and more rapid response,the rapid development of economic globalization,making the economic crisis and the impact of growing range.As an important part of the financial market,the stock market has been called the barometer of the national economy.Therefore,it usually reflects the volatility of the global economy by the linkage of the price fluctuation of the stock market.For the stock investors or financial institutions,the control of risk has become an important issue can not be avoided,so the study of the various characteristics of the stock is very important.For every investor or financial institution,how to choose the stock,and how to choose the best risk portfolio strategy to minimize the risk of their most concern.Based on the existing research,this paper proposes a method of grouping the stock portfolio to measure the risk value of the portfolio under the optimal weight,which reduces the difficulty of calculating the optimal weight in the portfolio.In this paper,we use GARCH model with standard residuals to obey normal distributions,t distributions and GED distributions to model and compare the daily returns of stocks.We choose the GARCH model with the best fitting effect through AIC criterion.At the same time,due to the correlation between stocks,this paper chooses the five commonly used Copula functions to model the standard residual series of stock returns,and choose the best description of the stock by Euclidean distance fitting goodness test.The Copula Function of Feature.Finally,the mean-CVaR model is used to analyze the portfolio of Chinese stock,and the optimal weight of intra-group investment portfolio is calculated and the CVaR is obtained under different confidence intervals.Therefore,based on the Copula-GARCH model and mean-CVaR,it can solve the optimal weight and risk measurement of the portfolio.