Journal of Investment and Management

Volume 3, Issue 2, April 2014

  • The Pledge Rate Research of Copper and Zinc Inventory Portfolio Based on Copula-VaR Method

    Li Zhou, Jing Dong

    Issue: Volume 3, Issue 2, April 2014
    Pages: 37-41
    Received: 23 July 2014
    Accepted: 29 July 2014
    Published: 10 August 2014
    Abstract: This paper selects copper and zinc as a stock portfolio of mortgage financing. It calculates stock portfolio return risk by the value at risk method, introduces Copula function to measure the two pledges' relationship, simulates portfolio yield trend by Monte Carlo method to get Var value. At last compare Copula-Var method with traditional method, ... Show More