{"id":2074,"date":"2026-02-07T03:30:24","date_gmt":"2026-02-07T03:30:24","guid":{"rendered":"https:\/\/toposuranos.com\/InvestorInsight\/?p=2074"},"modified":"2026-02-07T03:30:24","modified_gmt":"2026-02-07T03:30:24","slug":"%e4%b8%ba%e4%bd%95%e5%a4%9a%e5%85%83%e5%8c%96%e5%9c%a8%e5%8d%b1%e6%9c%ba%e4%b8%ad%e5%a4%b1%e7%81%b5%ef%bc%9a%e7%9b%b8%e5%85%b3%e6%80%a7%e3%80%81%e5%b0%be%e9%83%a8%e4%be%9d%e8%b5%96%e4%b8%8e%e6%9e%81","status":"publish","type":"post","link":"https:\/\/toposuranos.com\/InvestorInsight\/zh\/2026\/02\/07\/%e4%b8%ba%e4%bd%95%e5%a4%9a%e5%85%83%e5%8c%96%e5%9c%a8%e5%8d%b1%e6%9c%ba%e4%b8%ad%e5%a4%b1%e7%81%b5%ef%bc%9a%e7%9b%b8%e5%85%b3%e6%80%a7%e3%80%81%e5%b0%be%e9%83%a8%e4%be%9d%e8%b5%96%e4%b8%8e%e6%9e%81\/","title":{"rendered":"\u4e3a\u4f55\u591a\u5143\u5316\u5728\u5371\u673a\u4e2d\u5931\u7075\uff1a\u76f8\u5173\u6027\u3001\u5c3e\u90e8\u4f9d\u8d56\u4e0e\u6781\u7aef\u98ce\u9669"},"content":{"rendered":"<article class=\"post-diversificacion-academica\">\n<header>\n<div style=\"text-align:center;\">\n<h1>\u4e3a\u4f55\u591a\u5143\u5316\u5728\u5371\u673a\u4e2d\u5931\u7075\uff1a\u76f8\u5173\u6027\u3001\u5c3e\u90e8\u4f9d\u8d56\u4e0e\u6781\u7aef\u98ce\u9669<\/h1>\n<p><em>\u591a\u5143\u5316\u5e38\u88ab\u7406\u89e3\u4e3a\u201c\u6301\u6709\u5f88\u591a\u8d44\u4ea7\u201d\uff0c\u4f46\u5728\u6570\u91cf\u91d1\u878d\u4e2d\uff0c\u6536\u76ca\u6765\u81ea\u534f\u65b9\u5dee\u7ed3\u6784\uff0c\u800c\u5728\u6781\u7aef\u60c5\u666f\u4e0b\uff0c\u5173\u952e\u5728\u4e8e\u5c3e\u90e8\u4f9d\u8d56\u3002\u672c\u6587\u63d0\u51fa\u5982\u4e0b\u89e3\u8bfb\uff1a\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\uff0c\u4e5f\u662f\u5728\u5f31\u70b9\u4e0e\u4f18\u52bf\u4e0a\u540c\u65f6\u4fdd\u6301\u591a\u6837\u6027\u3002\u5173\u952e\u5728\u4e8e\u5f31\u70b9\u4e0d\u8981\u5728\u538b\u529b\u4e0b\u540c\u6b65\u53d1\u751f\uff0c\u800c\u4f18\u52bf\u80fd\u591f\u8986\u76d6\uff0c\u5e76\u4e14\u6709\u65f6\u5728\u66f4\u5e7f\u6cdb\u7684\u72b6\u6001\u96c6\u5408\u4e2d\u76f8\u4e92\u91cd\u53e0\u3002\u4e3a\u4f7f\u8bba\u8bc1\u66f4\u7cbe\u786e\uff0c\u6211\u5c06\u8fd9\u4e00\u76f4\u89c9\u4e0e\u6295\u8d44\u7ec4\u5408\u7406\u8bba\uff08Markowitz\uff09\u3001\u52a8\u6001\u76f8\u5173\u6a21\u578b\u3001\u72b6\u6001\u5207\u6362\u3001\u5c3e\u90e8\u4f9d\u8d56\uff08Copula\uff09\u3001\u5c3e\u90e8\u98ce\u9669\uff08CVaR\/Expected Shortfall\uff09\u4ee5\u53ca\u7f51\u7edc\u8fde\u901a\u6027\u7684\u89c6\u89d2\u8fde\u63a5\u8d77\u6765\u3002<\/em><\/p>\n<\/p><\/div>\n<\/header>\n<section id=\"motivacion\">\n<h2>\u591a\u5143\u5316\u4e0d\u662f\u6570\u8d44\u4ea7<\/h2>\n<p>\u5f53\u5e02\u573a\u5e73\u9759\u65f6\uff0c\u6295\u8d44\u7ec4\u5408\u770b\u8d77\u6765\u50cf\u4e00\u5e45\u9a6c\u8d5b\u514b\u3002\u6bcf\u4e00\u5757\u90fd\u6709\u540d\u5b57\u3001\u884c\u4e1a\u3001\u53d9\u4e8b\u3002\u4f46\u53ea\u8981\u98ce\u5411\u4e00\u53d8\uff0c\u6574\u5e45\u9a6c\u8d5b\u514b\u5c31\u4f1a\u50cf\u4e00\u6574\u5757\u677f\u4e00\u6837\u79fb\u52a8\u3002\u5b9e\u8df5\u4e2d\uff0c\u8bb8\u591a\u201c\u591a\u5143\u5316\u201d\u7684\u6295\u8d44\u7ec4\u5408\u5728\u5e02\u573a\u8fdb\u5165\u56de\u8c03\u65f6\u8868\u73b0\u5f97\u50cf\u4e00\u6b21\u5355\u4e00\u62bc\u6ce8\uff1a\u76f8\u5173\u6027\u4e0a\u5347\uff0c\u56de\u64a4\u540c\u6b65\uff0cticker \u7684\u591a\u6837\u6027\u574d\u7f29\u4e3a\u4e00\u4e2a\u4e3b\u5bfc\u56e0\u5b50\u3002\u8fd9\u79cd\u89c2\u5bdf\u5e76\u975e\u8f76\u4e8b\uff1a\u6587\u732e\u663e\u793a\uff0c\u4f9d\u8d56\u7ed3\u6784\u4f1a\u968f\u72b6\u6001\u53d8\u5316\uff0c\u5c24\u5176\u5728\u4e0b\u8dcc\u4e0e\u9ad8\u6ce2\u52a8\u60c5\u666f\u4e2d\u66f4\u4e3a\u660e\u663e\u3002<\/p>\n<p>\u7531\u6b64\uff0c\u6709\u7528\u7684\u95ee\u9898\u4e0d\u518d\u662f\u6e05\u5355\u91cc\u6709\u591a\u5c11\u5de5\u5177\uff0c\u800c\u662f\u5f53\u538b\u529b\u4e0a\u5347\u65f6\uff0c\u5b83\u4eec\u4e4b\u95f4\u7531\u54ea\u4e9b\u7ebd\u5e26\u8fde\u63a5\u3002\u6838\u5fc3\u8bba\u70b9\u662f\uff1a<strong>\u591a\u5143\u5316\u662f\u4e00\u4e2a\u4f9d\u8d56\u95ee\u9898<\/strong>\u3002\u4ec5\u4ec5\u5206\u6563\u6743\u91cd\u5e76\u4e0d\u591f\uff0c\u8fd8\u5fc5\u987b\u8bbe\u8ba1\u7ed3\u6784\uff0c\u4f7f\u4e25\u91cd\u635f\u5931\u4fdd\u6301\u53ef\u63a7\uff0c\u5e76\u4e14\u4e0d\u4f1a\u5728\u6295\u8d44\u7ec4\u5408\u5185\u90e8\u4f20\u64ad\u3002<\/p>\n<\/section>\n<section id=\"tesis\">\n<h2>\u6982\u5ff5\u4e0a\u7684\u5206\u79bb<\/h2>\n<p>\u5982\u679c\u628a\u6295\u8d44\u7ec4\u5408\u770b\u4f5c\u4e00\u4e2a\u7cfb\u7edf\uff0c\u5c31\u4f1a\u51fa\u73b0\u4e24\u7c7b\u4e8b\u5b9e\u3002\u4e00\u7c7b\u8bb2\u635f\u4f24\uff0c\u4e00\u7c7b\u8bb2\u5ef6\u7eed\u3002\u4e00\u7c7b\u63cf\u8ff0\u5b83\u5982\u4f55\u65ad\u88c2\uff0c\u53e6\u4e00\u7c7b\u63cf\u8ff0\u5b83\u5982\u4f55\u7ee7\u7eed\u8fd0\u8f6c\u3002<\/p>\n<p><strong>\u5f31\u70b9\u7684\u591a\u6837\u6027\u3002<\/strong>\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\u4e5f\u5728\u5f31\u70b9\u4e0a\u4fdd\u6301\u591a\u6837\u6027\u3002\u5173\u952e\u662f\u8fd9\u4e9b\u5f31\u70b9<strong>\u4e0d\u8981\u540c\u65f6\u53d1\u751f<\/strong>\uff0c\u6216\u5728\u538b\u529b\u60c5\u666f\u4e0b\u540c\u65f6\u53d1\u751f\u7684\u6982\u7387\u8981\u4f4e\u3002\u7528\u6280\u672f\u8bed\u8a00\u8bf4\uff1a\u8981\u6700\u5c0f\u5316\u6781\u7aef\u635f\u5931\u7684\u540c\u6b65\uff0c\u9700\u8981\u8d85\u8d8a\u5e73\u5747\u76f8\u5173\u6027\uff0c\u8003\u8651\u6761\u4ef6\u4f9d\u8d56\u4e0e\u5c3e\u90e8\u4f9d\u8d56\u3002<\/p>\n<p><strong>\u4f18\u52bf\u7684\u591a\u6837\u6027\u3002<\/strong>\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\u4e5f\u5728\u4f18\u52bf\u4e0a\u4fdd\u6301\u591a\u6837\u6027\u3002\u76ee\u6807\u4e0d\u662f\u201c\u6240\u6709\u8d44\u4ea7\u540c\u65f6\u4e0a\u6da8\u201d\uff0c\u90a3\u5f80\u5f80\u53ea\u662f\u6362\u4e2a\u540d\u5b57\u7684\u56e0\u5b50\u96c6\u4e2d\uff1b\u800c\u662f\u8ba9\u56de\u62a5\u5f15\u64ce\u7684\u96c6\u5408<strong>\u8986\u76d6\u91cd\u8981\u60c5\u666f<\/strong>\uff0c\u5e76\u5728\u67d0\u4e9b\u72b6\u6001\u4e0b\u63d0\u4f9b\u5197\u4f59\uff0c\u4e5f\u5c31\u662f\u4e0d\u6b62\u4e00\u4e2a\u5f15\u64ce\u5728\u8d21\u732e\u56de\u62a5\u3002<\/p>\n<\/section>\n<section id=\"marco-teorico\">\n<h2>\u5173\u952e\u601d\u60f3<\/h2>\n<p>\u8981\u8ba9\u8fd9\u79cd\u76f4\u89c9\u4e0d\u6b62\u505c\u7559\u5728\u9690\u55bb\u5c42\u9762\uff0c\u6211\u4eec\u9700\u8981\u5ea6\u91cf\u3002\u4e0d\u662f\u4e3a\u4e86\u88c5\u9970\uff0c\u800c\u662f\u4f5c\u4e3a\u770b\u89c1\u4e0d\u53ef\u89c1\u4e4b\u7269\u7684\u5de5\u5177\uff1a\u8d44\u4ea7\u4e4b\u95f4\u7684\u7ebd\u5e26\u3001\u5171\u540c\u4e0b\u8dcc\u3001\u4ee5\u53ca\u5f53\u5e02\u573a\u6536\u7f29\u65f6\u51b2\u51fb\u6cbf\u54ea\u4e9b\u8def\u5f84\u4f20\u64ad\u3002<\/p>\n<h3>Markowitz\uff1a\u591a\u5143\u5316\u6536\u76ca\u5b58\u5728\u4e8e\u534f\u65b9\u5dee\u4e4b\u4e2d<\/h3>\n<p>\u7b2c\u4e00\u5f20\u5730\u56fe\u6765\u81ea Markowitz\uff1a\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\u5f62\u5f0f\u5316\u5730\u8bf4\u660e\uff0c\u6574\u4f53\u98ce\u9669\u53d6\u51b3\u4e8e\u65b9\u5dee\u4e0e\u534f\u65b9\u5dee\uff0c\u800c\u4e0d\u662f\u8d44\u4ea7\u6570\u91cf\u3002\u8fd9\u786e\u7acb\u4e86\u8d77\u70b9\uff1a\u201c\u591a\u5143\u5316\u201d\u662f\u6784\u9020\u6536\u76ca\u4e4b\u95f4\u7684\u5173\u7cfb\uff0c\u800c\u4e0d\u662f\u6536\u96c6\u5de5\u5177\u3002<sup><a href=\"#ref-markowitz\">[1]<\/a><\/sup><\/p>\n<h3>\u76f8\u5173\u6027\u4e0d\u7b49\u4e8e\u4f9d\u8d56\uff1a\u5c3e\u90e8\u95ee\u9898<\/h3>\n<p>\u4f46\u5373\u4fbf\u5730\u56fe\u6b63\u786e\uff0c\u5728\u66f4\u5d0e\u5c96\u7684\u5730\u5f62\u4e0a\u4e5f\u53ef\u80fd\u4e0d\u591f\u7528\u3002\u7ebf\u6027\u76f8\u5173\u6027\u53ea\u662f\u90e8\u5206\u5ea6\u91cf\uff0c\u5c24\u5176\u53ef\u80fd\u65e0\u6cd5\u63cf\u8ff0\u6781\u7aef\u4e8b\u4ef6\u7684\u5171\u540c\u53d1\u751f\u3002Copula \u6846\u67b6\u4e0e<em>\u5c3e\u90e8\u4f9d\u8d56<\/em>\u7684\u6982\u5ff5\uff0c\u6070\u597d\u6355\u6349\u4e86\u8fd9\u91cc\u6700\u5173\u5fc3\u7684\u95ee\u9898\uff1a\u5927\u7684\u4e8f\u635f\u662f\u5426\u503e\u5411\u4e8e\u4e00\u8d77\u51fa\u73b0\u3002<sup><a href=\"#ref-embrechts\">[2]<\/a><\/sup><\/p>\n<h3>\u6761\u4ef6\u4f9d\u8d56\u4e0e\u72b6\u6001\u5207\u6362<\/h3>\n<p>\u5e02\u573a\u5e76\u4e0d\u4f1a\u603b\u5728\u540c\u4e00\u5b63\u8282\u91cc\u5faa\u73af\u3002\u7a7a\u6c14\u5728\u53d8\u3001\u538b\u529b\u5728\u53d8\u3001\u7ebd\u5e26\u4e5f\u5728\u53d8\u3002\u7ecf\u9a8c\u7814\u7a76\u8868\u660e\uff0c\u5728\u718a\u5e02\u4e2d\u4f9d\u8d56\u4f1a\u4e0a\u5347\uff1a\u76f8\u5173\u6027\u4f1a\u5728\u6700\u5173\u952e\u7684\u65f6\u523b\u201c\u8df3\u5347\u201d\uff0c\u4ece\u800c\u524a\u5f31\u591a\u5143\u5316\u3002\u8fd9\u4e00\u70b9\u4f8b\u5982\u5728\u718a\u5e02\u7684\u6781\u7aef\u76f8\u5173\u6027\u7814\u7a76\u4e2d\u6709\u6240\u8bb0\u5f55\u3002<sup><a href=\"#ref-longin-solnik\">[3]<\/a><\/sup><\/p>\n<p>\u72b6\u6001\u5207\u6362\u6a21\u578b\uff0c\u4f8b\u5982\u9a6c\u5c14\u53ef\u592b\u5207\u6362\uff08Markov switching\uff09\uff0c\u5c06\u6ce2\u52a8\u7387\u4e0e\u76f8\u5173\u6027\u5f62\u5f0f\u5316\u4e3a\u975e\u6052\u5b9a\uff0c\u800c\u662f\u4f9d\u8d56\u4e8e\u5e02\u573a\u72b6\u6001\u3002<sup><a href=\"#ref-ang-bekaert\">[4]<\/a><\/sup>\u4f5c\u4e3a\u8865\u5145\uff0c\u52a8\u6001\u6761\u4ef6\u76f8\u5173\uff08DCC\uff09\u5141\u8bb8\u4f30\u8ba1\u968f\u65f6\u95f4\u6f14\u5316\u7684\u76f8\u5173\u6027\u3002<sup><a href=\"#ref-engle-dcc\">[5]<\/a><\/sup><\/p>\n<h3>\u5c3e\u90e8\u98ce\u9669\uff1aCVaR\uff08Expected Shortfall\uff09\u4f5c\u4e3a\u76ee\u6807\u6216\u7ea6\u675f<\/h3>\n<p>\u5f53\u98ce\u66b4\u6765\u4e34\uff0c\u5747\u503c\u4e0d\u518d\u662f\u6307\u5357\u3002\u5982\u679c\u76ee\u6807\u662f\u907f\u514d\u201c\u540c\u65f6\u906d\u9047\u5927\u7684\u51b2\u51fb\u201d\uff0c\u65b9\u5dee\u53ef\u80fd\u4e0d\u8db3\u3002CVaR\uff08Expected Shortfall\uff09\u63d0\u4f9b\u4e86\u4e00\u4e2a\u4e00\u81f4\u6027\u7684\u5c3e\u90e8\u98ce\u9669\u5ea6\u91cf\uff0c\u5e76\u7ed9\u51fa\u53ef\u64cd\u4f5c\u7684\u4f18\u5316\u6846\u67b6\uff0c\u7528\u4e8e\u7ea6\u675f\u9884\u671f\u7684\u4e25\u91cd\u635f\u5931\u3002<sup><a href=\"#ref-rockafellar-uryasev\">[6]<\/a><\/sup><\/p>\n<h3>\u8fde\u901a\u6027\u4e0e\u7c07\uff1a\u7f51\u7edc\u89c6\u89d2<\/h3>\n<p>\u6700\u540e\uff0c\u5982\u679c\u6211\u4eec\u8ba8\u8bba\u7684\u662f\u4f20\u64ad\uff0c\u5c31\u5e94\u628a\u6295\u8d44\u7ec4\u5408\u89c6\u4e3a\u4e00\u5f20\u4f20\u8f93\u7f51\u7edc\u3002\u201c\u4f20\u64ad\u201d\u7684\u76f4\u89c9\u53ef\u4ee5\u5efa\u6a21\u4e3a\u8d44\u4ea7\u6216\u8d44\u4ea7\u5757\u4e4b\u95f4\u7684\u8fde\u901a\u6027\u3002\u5728\u91d1\u878d\u4e2d\uff0c\u5c42\u6b21\u805a\u7c7b\u4e0e\u7531\u76f8\u5173\u6027\u5bfc\u51fa\u7684\u8ddd\u79bb\u88ab\u7528\u4e8e\u6784\u5efa\u5206\u7c7b\u4f53\u7cfb\uff1b\u540c\u65f6\uff0c<em>connectedness<\/em> \u6307\u6807\u4e5f\u88ab\u7528\u4e8e\u91cf\u5316\u51b2\u51fb\u7684\u4f20\u5bfc\u3002<sup><a href=\"#ref-mantegna\">[7]<\/a><\/sup><sup><a href=\"#ref-diebold-yilmaz\">[8]<\/a><\/sup><\/p>\n<\/section>\n<section id=\"implicancias\">\n<h2>\u64cd\u4f5c\u5c42\u9762\u7684\u542b\u4e49\uff1a\u4ece\u6982\u5ff5\u5230\u8bbe\u8ba1\u89c4\u5219<\/h2>\n<p>\u8fd9\u6837\uff0c\u7406\u5ff5\u5c31\u53d8\u5f97\u53ef\u6267\u884c\uff1a\u4ec5\u4ec5\u589e\u52a0\u540d\u5b57\u8fdc\u8fdc\u4e0d\u591f\u3002\u4f60\u5fc5\u987b\u7406\u89e3\u5b83\u4eec\u4e3a\u4f55\u4e00\u8d77\u4e0b\u8dcc\u3001\u4f55\u65f6\u4e00\u8d77\u4e0b\u8dcc\u3001\u4ee5\u53ca\u4e00\u8d77\u4e0b\u8dcc\u65f6\u5b83\u4eec\u7684\u6743\u91cd\u6709\u591a\u5927\u3002\u5230\u90a3\u4e00\u6b65\uff0c\u591a\u5143\u5316\u4e0d\u518d\u662f\u4e00\u5f20\u6e05\u5355\uff0c\u800c\u662f\u4e00\u79cd\u8bbe\u8ba1\u3002<\/p>\n<h3>\u6309\u9a71\u52a8\u56e0\u5b50\uff08drivers\uff09\u591a\u5143\u5316\uff0c\u800c\u4e0d\u662f\u6309\u540d\u5b57<\/h3>\n<p>\u4e0e\u5176\u95ee\u201c\u6211\u6709\u591a\u5c11\u8d44\u4ea7\uff1f\u201d\uff0c\u4e0d\u5982\u95ee\u201c\u6709\u591a\u5c11\u9a71\u52a8\u56e0\u5b50\u89e3\u91ca\u4e86 P&amp;L\uff1f\u201d\u3002\u9a71\u52a8\u56e0\u5b50\u7684\u4f8b\u5b50\u5305\u62ec\uff1a\u5168\u7403\u6d41\u52a8\u6027\uff08risk-on\/risk-off\uff09\u3001\u5b9e\u9645\u5229\u7387\u3001\u7f8e\u5143\u3001\u589e\u957f\u3001\u901a\u80c0\u4e0e\u5927\u5b97\u5546\u54c1\u3001\u76d1\u7ba1\u98ce\u9669\u4e0e\u91d1\u878d\u538b\u529b\u4e8b\u4ef6\u3002<\/p>\n<h3>\u8bca\u65ad\u95ee\u9898\uff1a\u8bc6\u522b\u56de\u64a4\u7c07<\/h3>\n<p><strong>\u95ee\u9898\uff1a<\/strong>\u5982\u679c\u9a71\u52a8\u56e0\u5b50 X \u5f3a\u70c8\u51b2\u51fb\uff0c\u6709\u591a\u5c11\u8d44\u4ea7\u5757\u4f1a\u4e00\u8d77\u4e0b\u8dcc\uff0c\u5b83\u4eec\u7684\u6743\u91cd\u6709\u591a\u5927\uff1f\u5982\u679c\u7b54\u6848\u662f\u201c\u5f88\u591a\u201d\u548c\u201c\u5f88\u5927\u201d\uff0c\u90a3\u5c31\u5b58\u5728\u4e00\u4e2a<strong>\u56de\u64a4\u7c07<\/strong>\uff1a\u8868\u9762\u591a\u6837\u6027\uff0c\u6df1\u5c42\u4f9d\u8d56\u3002<\/p>\n<h3>\u4e09\u6839\u6760\u6746\uff1a\u89c4\u6a21\u3001\u4e92\u8865\u3001\u89c4\u5219<\/h3>\n<p>\u5f53\u8bc6\u522b\u51fa\u7c07\u4e4b\u540e\uff0c\u5408\u7406\u7684\u505a\u6cd5\u662f\u7528\u7b80\u5355\u4e14\u53ef\u6267\u884c\u7684\u6760\u6746\u53bb\u5e72\u9884\u3002\u6760\u6746\u4e0d\u591a\uff0c\u4f46\u5206\u91cf\u5f88\u91cd\uff0c\u56e0\u4e3a\u5b83\u4eec\u4f5c\u7528\u4e8e\u7ed3\u6784\u672c\u8eab\u3002<\/p>\n<ul>\n<li><strong>\u89c4\u6a21\uff08\u635f\u4f24\u63a7\u5236\uff09\u3002<\/strong>\u9650\u5236\u5bf9\u98ce\u9669\u7684\u96c6\u4e2d\u8d21\u732e\u3002\u5373\u4f7f\u8d44\u4ea7\u4e0d\u540c\uff0c\u4ed3\u4f4d\u6743\u91cd\u4e5f\u53ef\u80fd\u8ba9\u67d0\u4e2a\u5f31\u70b9\u4e0d\u518d\u5c40\u90e8\uff0c\u800c\u53d8\u6210\u7cfb\u7edf\u6027\u3002<\/li>\n<li><strong>\u4e92\u8865\uff08\u60c5\u666f\u8986\u76d6\uff09\u3002<\/strong>\u5f15\u5165\u5f31\u70b9\u4e0d\u540c\u7684\u9a71\u52a8\u56e0\u5b50\uff0c\u7406\u60f3\u60c5\u51b5\u4e0b\u4e0e\u4e3b\u5bfc\u7c07\u4e4b\u95f4\u7684\u5c3e\u90e8\u4f9d\u8d56\u8f83\u4f4e\u3002<\/li>\n<li><strong>\u89c4\u5219\uff08\u6cbb\u7406\uff09\u3002<\/strong>\u660e\u786e\u7684\u6b62\u635f\u3001\u518d\u5e73\u8861\u4e0e\u52a0\u51cf\u4ed3\u51c6\u5219\uff0c\u907f\u514d\u5728\u538b\u529b\u4e0b\u505a\u51fa\u51b2\u52a8\u51b3\u7b56\u3002<\/li>\n<\/ul>\n<h3>\u7528\u53ef\u5ea6\u91cf\u7684\u65b9\u5f0f\u7406\u89e3\u201c\u9694\u79bb\u5f31\u70b9\u201d<\/h3>\n<p>\u9694\u79bb\u5e76\u4e0d\u610f\u5473\u7740\u6d88\u9664\u98ce\u9669\uff0c\u800c\u662f\u963b\u6b62\u635f\u4f24\u540c\u6b65\u5e76\u88ab\u653e\u5927\u3002\u8981\u5ea6\u91cf\u8fd9\u79cd\u540c\u6b65\uff0c\u66f4\u5e94\u89c2\u5bdf\u5e02\u573a\u6536\u7d27\u65f6\u7684\u4f9d\u8d56\uff0c\u800c\u4e0d\u662f\u53ea\u770b\u5e02\u573a\u8212\u7f13\u65f6\u7684\u5173\u7cfb\u3002<\/p>\n<ul>\n<li>\u4f7f\u7528\u52a8\u6001\u76f8\u5173\uff08DCC\uff09\u76d1\u6d4b\u8fde\u901a\u6027\u7684\u4e0a\u5347\u3002<sup><a href=\"#ref-engle-dcc\">[5]<\/a><\/sup><\/li>\n<li>\u5f53\u76ee\u6807\u662f\u907f\u514d\u6781\u7aef\u5171\u540c\u4e0b\u8dcc\u65f6\uff0c\u5206\u6790\u5c3e\u90e8\u4f9d\u8d56\uff08Copula \u6216\u5206\u4f4d\u6570\u8fd1\u4f3c\uff09\u3002<sup><a href=\"#ref-embrechts\">[2]<\/a><\/sup><\/li>\n<li>\u4f18\u5316\u6216\u7ea6\u675f CVaR\/Expected Shortfall\uff0c\u4ee5\u9650\u5236\u603b\u4f53\u7684\u4e25\u91cd\u635f\u5931\u3002<sup><a href=\"#ref-rockafellar-uryasev\">[6]<\/a><\/sup><\/li>\n<li>\u7528\u805a\u7c7b\u4e0e\u8fde\u901a\u6027\u6307\u6807\u8bc6\u522b\u9ad8\u5ea6\u8fde\u63a5\u7684\u7ec4\u4ef6\uff0c\u5373\u6f5c\u5728\u7684\u56de\u64a4\u7c07\u3002<sup><a href=\"#ref-mantegna\">[7]<\/a><\/sup><sup><a href=\"#ref-diebold-yilmaz\">[8]<\/a><\/sup><\/li>\n<\/ul>\n<h3>\u201c\u8986\u76d6\u578b\u4f18\u52bf\u201d\u4f5c\u4e3a\u72b6\u6001\u8986\u76d6<\/h3>\n<p>\u53e6\u4e00\u4fa7\u662f\u5ef6\u7eed\u6027\u3002\u4e0d\u662f\u4fdd\u8bc1\uff0c\u800c\u662f\u901a\u8fc7\u8bbe\u8ba1\u5b9e\u73b0\u8986\u76d6\u3002\u4e00\u4e2a\u7a33\u5065\u7684\u6295\u8d44\u7ec4\u5408\u5e0c\u671b\uff1a\u5bf9\u6bcf\u4e00\u79cd\u53ef\u884c\u7684\u5e02\u573a\u72b6\u6001\uff0c\u81f3\u5c11\u5b58\u5728\u4e00\u7ec4\u9a71\u52a8\u56e0\u5b50\u80fd\u6709\u5408\u7406\u8868\u73b0\u3002\u72b6\u6001\u5207\u6362\u6a21\u578b\u628a\u8fd9\u4e00\u70b9\u5f62\u5f0f\u5316\uff1a\u76ee\u6807\u4e0d\u662f\u6700\u5927\u5316\u5e73\u5747\u503c\uff0c\u800c\u662f\u5728\u72b6\u6001\u53d8\u5316\u65f6\u907f\u514d\u8106\u5f31\u6027\u3002<sup><a href=\"#ref-ang-bekaert\">[4]<\/a><\/sup><\/p>\n<\/section>\n<section id=\"limitaciones\">\n<h2>\u5c40\u9650\u4e0e\u6ce8\u610f\u4e8b\u9879<\/h2>\n<p>\u8fd9\u6bb5\u65c5\u7a0b\u6700\u597d\u4ee5\u65b9\u6cd5\u8bba\u4e0a\u7684\u8bda\u5b9e\u6536\u5c3e\u3002\u6709\u4e9b\u7ecf\u9a8c\u4e8b\u5b9e\u4e0e\u4f30\u8ba1\u9650\u5236\u4e0d\u4f1a\u56e0\u4e3a\u613f\u671b\u800c\u6d88\u5931\uff0c\u56e0\u6b64\u5fc5\u987b\u7eb3\u5165\u8bbe\u8ba1\u4e4b\u4e2d\u3002<\/p>\n<ul>\n<li><strong>\u5371\u673a\u4e2d\u76f8\u5173\u6027\u5f80\u5f80\u4e0a\u5347\u3002<\/strong>\u591a\u5143\u5316\u53ef\u80fd\u6070\u6070\u5728\u6700\u9700\u8981\u7684\u65f6\u5019\u9000\u5316\u3002<sup><a href=\"#ref-longin-solnik\">[3]<\/a><\/sup><\/li>\n<li><strong>\u4f30\u8ba1\u98ce\u9669\u4e0e\u6a21\u578b\u98ce\u9669\u3002<\/strong>\u5747\u503c\u3001\u534f\u65b9\u5dee\u4e0e\u5c3e\u90e8\u53c2\u6570\u90fd\u5b58\u5728\u4f30\u8ba1\u8bef\u5dee\uff0c\u6a21\u578b\u9009\u62e9\u4e5f\u4f1a\u5f15\u5165\u4e0d\u786e\u5b9a\u6027\u3002\u4e00\u4e2a\u4e92\u8865\u601d\u8def\u662f\uff0c\u5728\u6295\u8d44\u7ec4\u5408\u9009\u62e9\u4e2d\u663e\u5f0f\u5904\u7406\u53c2\u6570\u4e0e\u6a21\u578b\u4e0d\u786e\u5b9a\u6027\u3002<sup><a href=\"#ref-garlappi-uppal-wang\">[9]<\/a><\/sup><\/li>\n<\/ul>\n<\/section>\n<section id=\"conclusion\">\n<h2>\u7ed3\u8bba<\/h2>\n<p>\u5982\u679c\u56de\u5230\u5f00\u5934\uff0c\u56de\u5230\u90a3\u4e2a\u201c\u591a\u6837\u201d\u7684\u6295\u8d44\u7ec4\u5408\u770b\u8d77\u6765\u50cf\u4e00\u4ef6\u4e1c\u897f\u5728\u79fb\u52a8\u7684\u65f6\u523b\uff0c\u6559\u8bad\u5c31\u53d8\u5f97\u6e05\u6670\uff1a\u591a\u5143\u5316\u4e0d\u662f\u6e05\u5355\uff0c\u800c\u662f\u67b6\u6784\u3002\u66f4\u51c6\u786e\u5730\u8bf4\uff0c\u591a\u5143\u5316\u662f\u4f9d\u8d56\u4e0e\u72b6\u6001\u7684\u95ee\u9898\uff1a<strong>\u9694\u79bb\u5f31\u70b9<\/strong>\u610f\u5473\u7740\u964d\u4f4e\u8fde\u901a\u6027\u4e0e\u4e25\u91cd\u635f\u5931\u7684\u5171\u540c\u53d1\u751f\uff0c\u5c24\u5176\u662f\u5728\u5c3e\u90e8\uff1b\u800c<strong>\u591a\u5143\u5316\u4f18\u52bf<\/strong>\u610f\u5473\u7740\u7528\u4e0d\u540c\u9a71\u52a8\u56e0\u5b50\u8986\u76d6\u60c5\u666f\uff0c\u5e76\u5728\u67d0\u4e9b\u72b6\u6001\u4e0b\u5177\u5907\u5197\u4f59\u3002\u5728\u5b9e\u8df5\u4e2d\uff0c\u8fd9\u5bf9\u5e94\u7740\u8bca\u65ad\u56de\u64a4\u7c07\u3001\u63a7\u5236\u89c4\u6a21\u3001\u5bfb\u627e\u4e92\u8865\u9a71\u52a8\u56e0\u5b50\uff0c\u4ee5\u53ca\u7528\u660e\u786e\u89c4\u5219\u6765\u64cd\u4f5c\u3002<\/p>\n<p>\u4e00\u53e5\u8bdd\uff1a<strong>\u591a\u5143\u5316\u5c31\u662f\u4e3a\u4e86\u5728\u4e16\u754c\u72b6\u6001\u53d8\u5316\u65f6\u4e0d\u88ab\u6298\u65ad\u800c\u8fdb\u884c\u8bbe\u8ba1<\/strong>\u3002<\/p>\n<p><strong>\u514d\u8d23\u58f0\u660e\uff1a<\/strong>\u5185\u5bb9\u4ec5\u4f9b\u6559\u80b2\u4e0e\u4fe1\u606f\u53c2\u8003\uff0c\u4e0d\u6784\u6210\u8d22\u52a1\u5efa\u8bae\u3002\u4efb\u4f55\u6295\u8d44\u5747\u6709\u98ce\u9669\uff0c\u5305\u62ec\u4e8f\u635f\u3002\u8fc7\u5f80\u4e1a\u7ee9\u4e0d\u4ee3\u8868\u672a\u6765\u7ed3\u679c\u3002<\/p>\n<\/section>\n<section id=\"referencias\">\n<h2>\u53c2\u8003\u6587\u732e<\/h2>\n<ol>\n<li id=\"ref-markowitz\">[1] Markowitz, H. (1952). Portfolio Selection. <em>The Journal of Finance<\/em>. <a href=\"https:\/\/doi.org\/10.1111\/j.1540-6261.1952.tb01525.x\" target=\"_blank\" rel=\"noopener\">DOI<\/a><\/li>\n<li id=\"ref-embrechts\">[2] Embrechts, P., McNeil, A., &amp; Straumann, D. (2002). Correlation and dependence in risk management: properties and pitfalls. \u6536\u5f55\u4e8e <em>Risk Management: Value at Risk and Beyond<\/em>. <a href=\"https:\/\/people.math.ethz.ch\/~embrecht\/ftp\/pitfalls.pdf\" target=\"_blank\" rel=\"noopener\">PDF<\/a><\/li>\n<li id=\"ref-longin-solnik\">[3] Longin, F., &amp; Solnik, B. (2001). Extreme Correlation of International Equity Markets. <em>The Journal of Finance<\/em>. <a href=\"https:\/\/solnik.people.ust.hk\/Articles\/A6-JoFLongin.pdf\" target=\"_blank\" rel=\"noopener\">PDF<\/a><\/li>\n<li id=\"ref-ang-bekaert\">[4] Ang, A., &amp; Bekaert, G. (2002). International Asset Allocation with Regime Shifts. <em>The Review of Financial Studies<\/em>, 15(4), 1137-1187. <a href=\"https:\/\/doi.org\/10.1093\/rfs\/15.4.1137\" target=\"_blank\" rel=\"noopener\">DOI<\/a>. <a href=\"https:\/\/academic.oup.com\/rfs\/article-abstract\/15\/4\/1137\/1568247\" target=\"_blank\" rel=\"noopener\">Oxford Academic<\/a><\/li>\n<li id=\"ref-engle-dcc\">[5] Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. <em>Journal of Business &amp; Economic Statistics<\/em>. <a href=\"https:\/\/doi.org\/10.1198\/073500102288618487\" target=\"_blank\" rel=\"noopener\">DOI<\/a><\/li>\n<li id=\"ref-rockafellar-uryasev\">[6] Rockafellar, R. T., &amp; Uryasev, S. (2000\/2002). Optimization of Conditional Value-at-Risk. <em>Journal of Risk<\/em>; \u53ca\u76f8\u5173\u5de5\u4f5c\u3002\u5e7f\u6cdb\u5f15\u7528\u7684\u7248\u672c\uff1a <a href=\"https:\/\/sites.math.washington.edu\/~rtr\/papers\/rtr179-CVaR1.pdf\" target=\"_blank\" rel=\"noopener\">PDF<\/a><\/li>\n<li id=\"ref-mantegna\">[7] Mantegna, R. N. (1999). Hierarchical Structure in Financial Markets. <em>The European Physical Journal B<\/em>. \u7ecf\u5178\u9884\u5370\u672c\uff1a <a href=\"https:\/\/arxiv.org\/abs\/cond-mat\/9802256\" target=\"_blank\" rel=\"noopener\">arXiv<\/a><\/li>\n<li id=\"ref-diebold-yilmaz\">[8] Diebold, F. X., &amp; Yilmaz, K. (2014). On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms. <em>Journal of Econometrics<\/em>. <a href=\"https:\/\/doi.org\/10.1016\/j.jeconom.2014.04.012\" target=\"_blank\" rel=\"noopener\">DOI<\/a><\/li>\n<li id=\"ref-garlappi-uppal-wang\">[9] Garlappi, L., Uppal, R., &amp; Wang, T. (2007). Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach. <em>The Review of Financial Studies<\/em>, 20(1), 41-81. <a href=\"https:\/\/doi.org\/10.1093\/rfs\/hhl003\" target=\"_blank\" rel=\"noopener\">DOI<\/a>. <a href=\"https:\/\/academic.oup.com\/rfs\/article-abstract\/20\/1\/41\/1588211\" target=\"_blank\" rel=\"noopener\">Oxford Academic<\/a><\/li>\n<\/ol>\n<\/section>\n<\/article>\n","protected":false},"excerpt":{"rendered":"<p>\u4e3a\u4f55\u591a\u5143\u5316\u5728\u5371\u673a\u4e2d\u5931\u7075\uff1a\u76f8\u5173\u6027\u3001\u5c3e\u90e8\u4f9d\u8d56\u4e0e\u6781\u7aef\u98ce\u9669 \u591a\u5143\u5316\u5e38\u88ab\u7406\u89e3\u4e3a\u201c\u6301\u6709\u5f88\u591a\u8d44\u4ea7\u201d\uff0c\u4f46\u5728\u6570\u91cf\u91d1\u878d\u4e2d\uff0c\u6536\u76ca\u6765\u81ea\u534f\u65b9\u5dee\u7ed3\u6784\uff0c\u800c\u5728\u6781\u7aef\u60c5\u666f\u4e0b\uff0c\u5173\u952e\u5728\u4e8e\u5c3e\u90e8\u4f9d\u8d56\u3002\u672c\u6587\u63d0\u51fa\u5982\u4e0b\u89e3\u8bfb\uff1a\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\uff0c\u4e5f\u662f\u5728\u5f31\u70b9\u4e0e\u4f18\u52bf\u4e0a\u540c\u65f6\u4fdd\u6301\u591a\u6837\u6027\u3002\u5173\u952e\u5728\u4e8e\u5f31\u70b9\u4e0d\u8981\u5728\u538b\u529b\u4e0b\u540c\u6b65\u53d1\u751f\uff0c\u800c\u4f18\u52bf\u80fd\u591f\u8986\u76d6\uff0c\u5e76\u4e14\u6709\u65f6\u5728\u66f4\u5e7f\u6cdb\u7684\u72b6\u6001\u96c6\u5408\u4e2d\u76f8\u4e92\u91cd\u53e0\u3002\u4e3a\u4f7f\u8bba\u8bc1\u66f4\u7cbe\u786e\uff0c\u6211\u5c06\u8fd9\u4e00\u76f4\u89c9\u4e0e\u6295\u8d44\u7ec4\u5408\u7406\u8bba\uff08Markowitz\uff09\u3001\u52a8\u6001\u76f8\u5173\u6a21\u578b\u3001\u72b6\u6001\u5207\u6362\u3001\u5c3e\u90e8\u4f9d\u8d56\uff08Copula\uff09\u3001\u5c3e\u90e8\u98ce\u9669\uff08CVaR\/Expected Shortfall\uff09\u4ee5\u53ca\u7f51\u7edc\u8fde\u901a\u6027\u7684\u89c6\u89d2\u8fde\u63a5\u8d77\u6765\u3002 \u591a\u5143\u5316\u4e0d\u662f\u6570\u8d44\u4ea7 \u5f53\u5e02\u573a\u5e73\u9759\u65f6\uff0c\u6295\u8d44\u7ec4\u5408\u770b\u8d77\u6765\u50cf\u4e00\u5e45\u9a6c\u8d5b\u514b\u3002\u6bcf\u4e00\u5757\u90fd\u6709\u540d\u5b57\u3001\u884c\u4e1a\u3001\u53d9\u4e8b\u3002\u4f46\u53ea\u8981\u98ce\u5411\u4e00\u53d8\uff0c\u6574\u5e45\u9a6c\u8d5b\u514b\u5c31\u4f1a\u50cf\u4e00\u6574\u5757\u677f\u4e00\u6837\u79fb\u52a8\u3002\u5b9e\u8df5\u4e2d\uff0c\u8bb8\u591a\u201c\u591a\u5143\u5316\u201d\u7684\u6295\u8d44\u7ec4\u5408\u5728\u5e02\u573a\u8fdb\u5165\u56de\u8c03\u65f6\u8868\u73b0\u5f97\u50cf\u4e00\u6b21\u5355\u4e00\u62bc\u6ce8\uff1a\u76f8\u5173\u6027\u4e0a\u5347\uff0c\u56de\u64a4\u540c\u6b65\uff0cticker \u7684\u591a\u6837\u6027\u574d\u7f29\u4e3a\u4e00\u4e2a\u4e3b\u5bfc\u56e0\u5b50\u3002\u8fd9\u79cd\u89c2\u5bdf\u5e76\u975e\u8f76\u4e8b\uff1a\u6587\u732e\u663e\u793a\uff0c\u4f9d\u8d56\u7ed3\u6784\u4f1a\u968f\u72b6\u6001\u53d8\u5316\uff0c\u5c24\u5176\u5728\u4e0b\u8dcc\u4e0e\u9ad8\u6ce2\u52a8\u60c5\u666f\u4e2d\u66f4\u4e3a\u660e\u663e\u3002 \u7531\u6b64\uff0c\u6709\u7528\u7684\u95ee\u9898\u4e0d\u518d\u662f\u6e05\u5355\u91cc\u6709\u591a\u5c11\u5de5\u5177\uff0c\u800c\u662f\u5f53\u538b\u529b\u4e0a\u5347\u65f6\uff0c\u5b83\u4eec\u4e4b\u95f4\u7531\u54ea\u4e9b\u7ebd\u5e26\u8fde\u63a5\u3002\u6838\u5fc3\u8bba\u70b9\u662f\uff1a\u591a\u5143\u5316\u662f\u4e00\u4e2a\u4f9d\u8d56\u95ee\u9898\u3002\u4ec5\u4ec5\u5206\u6563\u6743\u91cd\u5e76\u4e0d\u591f\uff0c\u8fd8\u5fc5\u987b\u8bbe\u8ba1\u7ed3\u6784\uff0c\u4f7f\u4e25\u91cd\u635f\u5931\u4fdd\u6301\u53ef\u63a7\uff0c\u5e76\u4e14\u4e0d\u4f1a\u5728\u6295\u8d44\u7ec4\u5408\u5185\u90e8\u4f20\u64ad\u3002 \u6982\u5ff5\u4e0a\u7684\u5206\u79bb \u5982\u679c\u628a\u6295\u8d44\u7ec4\u5408\u770b\u4f5c\u4e00\u4e2a\u7cfb\u7edf\uff0c\u5c31\u4f1a\u51fa\u73b0\u4e24\u7c7b\u4e8b\u5b9e\u3002\u4e00\u7c7b\u8bb2\u635f\u4f24\uff0c\u4e00\u7c7b\u8bb2\u5ef6\u7eed\u3002\u4e00\u7c7b\u63cf\u8ff0\u5b83\u5982\u4f55\u65ad\u88c2\uff0c\u53e6\u4e00\u7c7b\u63cf\u8ff0\u5b83\u5982\u4f55\u7ee7\u7eed\u8fd0\u8f6c\u3002 \u5f31\u70b9\u7684\u591a\u6837\u6027\u3002\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\u4e5f\u5728\u5f31\u70b9\u4e0a\u4fdd\u6301\u591a\u6837\u6027\u3002\u5173\u952e\u662f\u8fd9\u4e9b\u5f31\u70b9\u4e0d\u8981\u540c\u65f6\u53d1\u751f\uff0c\u6216\u5728\u538b\u529b\u60c5\u666f\u4e0b\u540c\u65f6\u53d1\u751f\u7684\u6982\u7387\u8981\u4f4e\u3002\u7528\u6280\u672f\u8bed\u8a00\u8bf4\uff1a\u8981\u6700\u5c0f\u5316\u6781\u7aef\u635f\u5931\u7684\u540c\u6b65\uff0c\u9700\u8981\u8d85\u8d8a\u5e73\u5747\u76f8\u5173\u6027\uff0c\u8003\u8651\u6761\u4ef6\u4f9d\u8d56\u4e0e\u5c3e\u90e8\u4f9d\u8d56\u3002 \u4f18\u52bf\u7684\u591a\u6837\u6027\u3002\u4e00\u4e2a\u591a\u5143\u5316\u7684\u6295\u8d44\u7ec4\u5408\u4e5f\u5728\u4f18\u52bf\u4e0a\u4fdd\u6301\u591a\u6837\u6027\u3002\u76ee\u6807\u4e0d\u662f\u201c\u6240\u6709\u8d44\u4ea7\u540c\u65f6\u4e0a\u6da8\u201d\uff0c\u90a3\u5f80\u5f80\u53ea\u662f\u6362\u4e2a\u540d\u5b57\u7684\u56e0\u5b50\u96c6\u4e2d\uff1b\u800c\u662f\u8ba9\u56de\u62a5\u5f15\u64ce\u7684\u96c6\u5408\u8986\u76d6\u91cd\u8981\u60c5\u666f\uff0c\u5e76\u5728\u67d0\u4e9b\u72b6\u6001\u4e0b\u63d0\u4f9b\u5197\u4f59\uff0c\u4e5f\u5c31\u662f\u4e0d\u6b62\u4e00\u4e2a\u5f15\u64ce\u5728\u8d21\u732e\u56de\u62a5\u3002 \u5173\u952e\u601d\u60f3 \u8981\u8ba9\u8fd9\u79cd\u76f4\u89c9\u4e0d\u6b62\u505c\u7559\u5728\u9690\u55bb\u5c42\u9762\uff0c\u6211\u4eec\u9700\u8981\u5ea6\u91cf\u3002\u4e0d\u662f\u4e3a\u4e86\u88c5\u9970\uff0c\u800c\u662f\u4f5c\u4e3a\u770b\u89c1\u4e0d\u53ef\u89c1\u4e4b\u7269\u7684\u5de5\u5177\uff1a\u8d44\u4ea7\u4e4b\u95f4\u7684\u7ebd\u5e26\u3001\u5171\u540c\u4e0b\u8dcc\u3001\u4ee5\u53ca\u5f53\u5e02\u573a\u6536\u7f29\u65f6\u51b2\u51fb\u6cbf\u54ea\u4e9b\u8def\u5f84\u4f20\u64ad\u3002 Markowitz\uff1a\u591a\u5143\u5316\u6536\u76ca\u5b58\u5728\u4e8e\u534f\u65b9\u5dee\u4e4b\u4e2d \u7b2c\u4e00\u5f20\u5730\u56fe\u6765\u81ea Markowitz\uff1a\u73b0\u4ee3\u6295\u8d44\u7ec4\u5408\u7406\u8bba\u5f62\u5f0f\u5316\u5730\u8bf4\u660e\uff0c\u6574\u4f53\u98ce\u9669\u53d6\u51b3\u4e8e\u65b9\u5dee\u4e0e\u534f\u65b9\u5dee\uff0c\u800c\u4e0d\u662f\u8d44\u4ea7\u6570\u91cf\u3002\u8fd9\u786e\u7acb\u4e86\u8d77\u70b9\uff1a\u201c\u591a\u5143\u5316\u201d\u662f\u6784\u9020\u6536\u76ca\u4e4b\u95f4\u7684\u5173\u7cfb\uff0c\u800c\u4e0d\u662f\u6536\u96c6\u5de5\u5177\u3002[1] \u76f8\u5173\u6027\u4e0d\u7b49\u4e8e\u4f9d\u8d56\uff1a\u5c3e\u90e8\u95ee\u9898 \u4f46\u5373\u4fbf\u5730\u56fe\u6b63\u786e\uff0c\u5728\u66f4\u5d0e\u5c96\u7684\u5730\u5f62\u4e0a\u4e5f\u53ef\u80fd\u4e0d\u591f\u7528\u3002\u7ebf\u6027\u76f8\u5173\u6027\u53ea\u662f\u90e8\u5206\u5ea6\u91cf\uff0c\u5c24\u5176\u53ef\u80fd\u65e0\u6cd5\u63cf\u8ff0\u6781\u7aef\u4e8b\u4ef6\u7684\u5171\u540c\u53d1\u751f\u3002Copula \u6846\u67b6\u4e0e\u5c3e\u90e8\u4f9d\u8d56\u7684\u6982\u5ff5\uff0c\u6070\u597d\u6355\u6349\u4e86\u8fd9\u91cc\u6700\u5173\u5fc3\u7684\u95ee\u9898\uff1a\u5927\u7684\u4e8f\u635f\u662f\u5426\u503e\u5411\u4e8e\u4e00\u8d77\u51fa\u73b0\u3002[2] \u6761\u4ef6\u4f9d\u8d56\u4e0e\u72b6\u6001\u5207\u6362 \u5e02\u573a\u5e76\u4e0d\u4f1a\u603b\u5728\u540c\u4e00\u5b63\u8282\u91cc\u5faa\u73af\u3002\u7a7a\u6c14\u5728\u53d8\u3001\u538b\u529b\u5728\u53d8\u3001\u7ebd\u5e26\u4e5f\u5728\u53d8\u3002\u7ecf\u9a8c\u7814\u7a76\u8868\u660e\uff0c\u5728\u718a\u5e02\u4e2d\u4f9d\u8d56\u4f1a\u4e0a\u5347\uff1a\u76f8\u5173\u6027\u4f1a\u5728\u6700\u5173\u952e\u7684\u65f6\u523b\u201c\u8df3\u5347\u201d\uff0c\u4ece\u800c\u524a\u5f31\u591a\u5143\u5316\u3002\u8fd9\u4e00\u70b9\u4f8b\u5982\u5728\u718a\u5e02\u7684\u6781\u7aef\u76f8\u5173\u6027\u7814\u7a76\u4e2d\u6709\u6240\u8bb0\u5f55\u3002[3] \u72b6\u6001\u5207\u6362\u6a21\u578b\uff0c\u4f8b\u5982\u9a6c\u5c14\u53ef\u592b\u5207\u6362\uff08Markov switching\uff09\uff0c\u5c06\u6ce2\u52a8\u7387\u4e0e\u76f8\u5173\u6027\u5f62\u5f0f\u5316\u4e3a\u975e\u6052\u5b9a\uff0c\u800c\u662f\u4f9d\u8d56\u4e8e\u5e02\u573a\u72b6\u6001\u3002[4]\u4f5c\u4e3a\u8865\u5145\uff0c\u52a8\u6001\u6761\u4ef6\u76f8\u5173\uff08DCC\uff09\u5141\u8bb8\u4f30\u8ba1\u968f\u65f6\u95f4\u6f14\u5316\u7684\u76f8\u5173\u6027\u3002[5] \u5c3e\u90e8\u98ce\u9669\uff1aCVaR\uff08Expected Shortfall\uff09\u4f5c\u4e3a\u76ee\u6807\u6216\u7ea6\u675f \u5f53\u98ce\u66b4\u6765\u4e34\uff0c\u5747\u503c\u4e0d\u518d\u662f\u6307\u5357\u3002\u5982\u679c\u76ee\u6807\u662f\u907f\u514d\u201c\u540c\u65f6\u906d\u9047\u5927\u7684\u51b2\u51fb\u201d\uff0c\u65b9\u5dee\u53ef\u80fd\u4e0d\u8db3\u3002CVaR\uff08Expected Shortfall\uff09\u63d0\u4f9b\u4e86\u4e00\u4e2a\u4e00\u81f4\u6027\u7684\u5c3e\u90e8\u98ce\u9669\u5ea6\u91cf\uff0c\u5e76\u7ed9\u51fa\u53ef\u64cd\u4f5c\u7684\u4f18\u5316\u6846\u67b6\uff0c\u7528\u4e8e\u7ea6\u675f\u9884\u671f\u7684\u4e25\u91cd\u635f\u5931\u3002[6] \u8fde\u901a\u6027\u4e0e\u7c07\uff1a\u7f51\u7edc\u89c6\u89d2 \u6700\u540e\uff0c\u5982\u679c\u6211\u4eec\u8ba8\u8bba\u7684\u662f\u4f20\u64ad\uff0c\u5c31\u5e94\u628a\u6295\u8d44\u7ec4\u5408\u89c6\u4e3a\u4e00\u5f20\u4f20\u8f93\u7f51\u7edc\u3002\u201c\u4f20\u64ad\u201d\u7684\u76f4\u89c9\u53ef\u4ee5\u5efa\u6a21\u4e3a\u8d44\u4ea7\u6216\u8d44\u4ea7\u5757\u4e4b\u95f4\u7684\u8fde\u901a\u6027\u3002\u5728\u91d1\u878d\u4e2d\uff0c\u5c42\u6b21\u805a\u7c7b\u4e0e\u7531\u76f8\u5173\u6027\u5bfc\u51fa\u7684\u8ddd\u79bb\u88ab\u7528\u4e8e\u6784\u5efa\u5206\u7c7b\u4f53\u7cfb\uff1b\u540c\u65f6\uff0cconnectedness \u6307\u6807\u4e5f\u88ab\u7528\u4e8e\u91cf\u5316\u51b2\u51fb\u7684\u4f20\u5bfc\u3002[7][8] \u64cd\u4f5c\u5c42\u9762\u7684\u542b\u4e49\uff1a\u4ece\u6982\u5ff5\u5230\u8bbe\u8ba1\u89c4\u5219 \u8fd9\u6837\uff0c\u7406\u5ff5\u5c31\u53d8\u5f97\u53ef\u6267\u884c\uff1a\u4ec5\u4ec5\u589e\u52a0\u540d\u5b57\u8fdc\u8fdc\u4e0d\u591f\u3002\u4f60\u5fc5\u987b\u7406\u89e3\u5b83\u4eec\u4e3a\u4f55\u4e00\u8d77\u4e0b\u8dcc\u3001\u4f55\u65f6\u4e00\u8d77\u4e0b\u8dcc\u3001\u4ee5\u53ca\u4e00\u8d77\u4e0b\u8dcc\u65f6\u5b83\u4eec\u7684\u6743\u91cd\u6709\u591a\u5927\u3002\u5230\u90a3\u4e00\u6b65\uff0c\u591a\u5143\u5316\u4e0d\u518d\u662f\u4e00\u5f20\u6e05\u5355\uff0c\u800c\u662f\u4e00\u79cd\u8bbe\u8ba1\u3002 \u6309\u9a71\u52a8\u56e0\u5b50\uff08drivers\uff09\u591a\u5143\u5316\uff0c\u800c\u4e0d\u662f\u6309\u540d\u5b57 \u4e0e\u5176\u95ee\u201c\u6211\u6709\u591a\u5c11\u8d44\u4ea7\uff1f\u201d\uff0c\u4e0d\u5982\u95ee\u201c\u6709\u591a\u5c11\u9a71\u52a8\u56e0\u5b50\u89e3\u91ca\u4e86 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