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Copula-GARCH模型下的两资产期权定价

Copula-GARCH模型下的两资产期权定价

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Abstract

This paper minimizes the risk of Brent oil in a multivariate portfolio, with Copula-GARCH模型下的两资产期权定价 three risk-minimizing goals: variance, parametric value-at-risk (VaR), and semiparametric value-at-risk. Brent oil is combined with five emerging ASEAN (Association of Southeast Asian Nations) Copula-GARCH模型下的两资产期权定价 stock indexes and five more developed non-ASEAN indexes. The preliminary dynamic equiciorrelation estimates indicate that the ASEAN stock indexes are less integrated and thus potentially better for diversification purposes. The portfolio results show that the Copula-GARCH模型下的两资产期权定价 ASEAN indexes are better hedges for oil in terms of minimum variance Copula-GARCH模型下的两资产期权定价 and minimum VaR. However, although the ASEAN indexes have higher extreme risk, we find that a portfolio with these indexes has slightly lower modified VaR than a portfolio with the non-ASEAN indexes. The reason is probably the higher variance and higher equicorrelation of the non-ASEAN indexes, because these inputs affect the value of the modified downside risk of a portfolio. As a complementary analysis, we put a 50 percent constraint on Brent in the portfolios, and then the portfolios with the non-ASEAN indexes have better risk-minimizing results.

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