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Dynamic Method for Portfolio Choice of Manufacturing Processes Based on Copulas

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Abstract:

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:

Applied Mechanics and Materials (Volumes 44-47)

Pages:

562-566

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.44-47.562

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Cite this paper

Online since:

December 2010

Authors:

Zhi Guo Wang

Keywords:

Copula, Dynamic Evaluation, GARCH Model, Manufacturing Process

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© 2011 Trans Tech Publications Ltd. All Rights Reserved

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