Research on the optimization of modern portfolio model based on optimal investment weight

Abstract On the basis of pair-copula theory, GARCH model and minimized CVaR approach, the pair-copula-GARCH-GED model was established by the paper to generate the future ROA scenario complying with the historical ROA distribution, and the optimal investment weight of asset portfolio was obtained through the minimized CVaR. In accordance with the empirical analysis, it can be seen that the model could describe the ROA distribution of asset portfolio better, and the one to put the pair-copula approach into the model could bring a more accurate result when analyzing the dependency relationship between multi-dimensional ROAs. The investment portfolio on this basis has better performance on the aspects of stability and profitability.