Dynamic Method for Portfolio Choice of Manufacturing Processes Based on Copulas

Abstract:

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Multivariate volatility modeling is always a hot topic in academic research. It is difficult to consider how to construct multivariate joint distribution. Copulas, a statistic method, can be used to decompose multivariate joint distribution into marginal distribution and correlation structure. This advantage is applied into calculating the dynamic VAR of a portfolio in the paper. Furthermore, a new model for dynamic portfolio choice based on copulas is proposed, and empirical analysis is operated for the several typical discrete manufacturing processes in the end.

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Periodical:

Edited by:

Ran Chen

Pages:

562-566

DOI:

10.4028/www.scientific.net/AMM.44-47.562

Citation:

Z. G. Wang "Dynamic Method for Portfolio Choice of Manufacturing Processes Based on Copulas", Applied Mechanics and Materials, Vols. 44-47, pp. 562-566, 2011

Online since:

December 2010

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$35.00

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