A new method for dynamic portfolio choice based on copulas

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 in the end.

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