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Risk Measure and Control Strategy of Investment Portfolio of Real Estate based on Dynamic CVaR Model

✍ Scribed by Zhi-qing MENG; Xiao-fen YU; Min JIANG; Hui GAO

Publisher
Elsevier
Year
2007
Weight
128 KB
Volume
27
Category
Article
ISSN
1874-8651

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This paper introduces GARCH-EVT-Copula model and applies it to study the risk of foreign exchange portfolio. Multivariate Copulas, including Gaussian, t and Clayton ones, were used to describe a portfolio risk structure, and to extend the analysis from a bivariate to an n-dimensional asset allocatio