Risk Analysis of Portfolio by Copula-GARCH
基于Copula2GARCH 的投资组合风险分析

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.