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| Optimizing the Risk of Stock Market Based on Vine Copula Grouped Model |
| CHEN Zhenlong,HAO Xiaozhen |
| School of Statistics and Mathematics, Zhejiang Gongshang University |
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Abstract This paper extends the binary Copula grouped model on the basis of a full consideration of the different industries of the publicly listed companies, constructs the mean-ES model based on the Vine Copula grouped model and empirically studies the influence of the dependent structure on the optimization risk in China’s stock market. The results show that the Vine Copula grouped model performs better in the efficient frontier compared with the Vine Copula model, and improves the out-of-sample performance of the optimal portfolio strategy. The back-testing results also verify the accuracy and effectiveness of the model in optimizing the risk.
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Received: 04 April 2018
Published: 15 August 2018
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Corresponding Authors:
CHEN Zhenlong
E-mail: littlegreenwo@163.com
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2018, Vol. 38 
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