Research on Performance of Asset Combination Brought by Joint Distribution of Stock Price Index Assets
Computer Science and Information Engineering, World Congress on (2009)
Los Angeles, California USA
Mar. 31, 2009 to Apr. 2, 2009
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/CSIE.2009.613
This paper structured a joint distribution function between the assets rate of return by the adoption of the generalized ARCH and the generalized Pareto distribution model and the relevant structure function. Comparison of corelation hypothesis between different marginal distributions and assets rate of return was made to show the impact on Portfolio Selection Performance. Empirical research shows that under the assumption of CRRA utility function, error resulted from corrupt relevant structural function could be reduced when the generalized ARCH and the generalized Pareto distribution appears as marginal distribution.
marginal distribution, relevant structural function, Portfolio
X. Cao, "Research on Performance of Asset Combination Brought by Joint Distribution of Stock Price Index Assets," 2009 WRI World Congress on Computer Science and Information Engineering, CSIE(CSIE), Los Angeles, CA, 2009, pp. 392-395.