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基于Copula的外汇投资组合风险分析

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Keywords: ArchimedeanCopula,VaR(ValueatRisk),投资组合,外汇

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Abstract:

?本文简要介绍了ArchimedeanCopula,并运用ArchimedeanCopula给出了确定两种外汇最小风险(VaR)投资组合的方法。并用这个方法,对欧元和日元的投资组合做了相应的风险分析,得到了二者的最小风险投资组合,并对不同置信水平下VaR和组合系数做了敏感性分析。

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