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本文介绍了欧盟温室气体排放权交易市场,选择欧洲气候交易所(ECX)推出的欧盟配额(EUA)期货合约作为温室气体排放权资产(即碳资产)的代表,利用Copula函数得到了国内一支QDII基金-南方全球精选基金与该资产收益率的联合分布,并进一步据此得到了两种资产任一组合的收益率的分布函数,然后在不同的显著性水平下确定了具有最小VaR的最优组合系数。对最优组合的分析发现,本文构建的投资组合在收益率高于原QDII基金收益率的同时,其VaR值在各种显著性水平下均低于原QDII基金的VaR,并且最优的组合系数对于特定的VaR水平的敏感度不高,组合策略具有可操作性。
This paper introduces the EU greenhouse gas (EQG) trading market, selects the European Union (EUA) Futures Contract launched by the European Climate Exchange (ECX) as a representative of greenhouse gas emission rights assets (ie carbon assets), and uses the Copula function to obtain a domestic one QDII Fund - Southern Global Select Fund and the return rate of the assets of the joint distribution and further derived from the two assets of any combination of the rate of return of the distribution function, and then at different levels of significance to determine the minimum VaR Optimal combination coefficient. The analysis of the optimal portfolio found that the portfolio constructed in this paper is lower than the return of the original QDII fund at the same time, the VaR of the portfolio at all significant levels are lower than the VaR of the original QDII fund, and the optimal combination The sensitivity of the coefficient to a specific VaR level is not high and the combination strategy is operable.