%0 Journal Article
%T Risk Analysis of Portfolio by Copula-GARCH<br>基于Copula2GARCH 的投资组合风险分析
%A WU Zhen-xiang
%A CHEN Min
%A YE Wu-yi
%A MIAO Bai-qi
%A <br>吴振翔
%A 陈　敏
%A 叶五一
%A 缪柏其
%J 系统工程理论与实践
%D 2006
%I 
%X Copula can describe the dependency structure of multi dimension random variable.In this paper,Copula and the forecast function of GARCH model are well combined,and a Copula Garch model is built for risk analysis of portfolio investment.By this model,empirical portfolio risk analysis is made in Chinese stock market.At last,the mini risk portfolio is given.
%K Copula
%K GARCH<br>投资组合
%K 风险分析
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=4CD88CB2D25A2279&yid=37904DC365DD7266&vid=96C778EE049EE47D&iid=38B194292C032A66&sid=94E7F66E6C42FA23&eid=286FB2D22CF8D013&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=10&reference_num=31