THE EFFECTS OF MEASURING THE ACTUAL DISTRIBUTION AND DEPENDENCE ON PORTFOLIO SELECTION PERFORMANCE: EVIDENCES FROM CHINA SECURITY MARKET

机译：衡量实际分配和依赖对投资组合选择性能的影响：来自中国安全市场的证据

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Firstly, the drawbacks of Markowitz's portfolio selection theory, the actual distribution and the dependence of financial asset returns are analyzed in this paper, then based on the character of copula, a multivariate distribution function which can reflect the actual distribution and the dependence of financial asset returns is developed. Finally, on the assumption of investor's CRRA utility function, using the developed multivariate distributions and the data from China security market, empirical research is done on the performance of the portfolio selection by dynamic backing test in order to research the effect of measuring the actual distribution and dependence on portfolio selection.

机译：首先，在本文中分析了Markowitz的投资组合选择理论，实际分布和金融资产返回的依赖性的缺点，然后基于Copula的特征，这是一种能够反映金融资产的实际分布和依赖性的多变量分布函数返回是开发的。最后，在投资者的CRRRA实用功能的假设上，利用发达的多变量分布和来自中国安全市场的数据，实证研究是通过动态背衬测试的投资组合选择的性能，以研究测量实际分布的影响并依赖投资组合选择。

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《IASTED International Conference on Financial Engineering and Applications》|2006年||共8页
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作者
Liu Zhidong; Song Bin; Li Wenbin;
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中图分类 TP3-53;
关键词
Measuring; Fat tail distribution; Extreme value dependence; Copula; Portfolio selection; Performance evaluation;

机译：测量;脂肪尾部分布;极值依赖;copula;投资组合选择;绩效评估;

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4. THE EFFECTS OF MEASURING THE ACTUAL DISTRIBUTION AND DEPENDENCE ON PORTFOLIO SELECTION PERFORMANCE: EVIDENCES FROM CHINA SECURITY MARKET [C] . Liu Zhidong, Song Bin, Li Wenbin Proceedings of the Third IASTED International Conference on Financial Engineering and Applications . 2006

机译：衡量实际分布和依赖程度对组合选择性能的影响：来自中国安全市场的证据
5. Dominance of security selection over portfolio selection in an inefficient market [D] . Ho, Michael Chimin. 1996

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7. Effects of risk aversion on securities portfolio performance in underdeveloped capital markets: the case of the capital market of Bosnia and Herzegovina [O] . Zahirović, Sejfudin, Okičić, Jasmina 2016

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THE EFFECTS OF MEASURING THE ACTUAL DISTRIBUTION AND DEPENDENCE ON PORTFOLIO SELECTION PERFORMANCE: EVIDENCES FROM CHINA SECURITY MARKET

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