Dynamic Method for Portfolio Choice of Manufacturing Processes Based on Copulas
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.
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