Research On Measurement Of Protfolio Tail Correlation And Risk Based On Copula Theory

Portfolio Theory is an exotic flower in Investment theories. Because of the function of significantly reducing the non-systematic risk of financial assets, it is sought after by many investors. Portfolio theory must address two important issues:first, what assets can be combined; second, how much risk would the combined assets face. Therefore, the tail correlation and risk calculation of assets become the focus of portfolio research. Besides, agriculture is the foundation of both national economy development and social stability, and Agricultural Listed Companies as the leading of agricultural are the carrier to solve the contradiction between "small farmers" and "big market" and to realize industrialized agricultural operation. Agricultural listed companies as the leading enterprise in development of Agricultural Industrialization are the combination of stock market and agricultural development. Through it we can channel community funds into agriculture to address the funds shortage.This thesis's purpose is to give the investors a clear awareness of the dependence between plates and agricultural investment risk, and let them make reasonable decisions on agricultural investment, and supply some decision support on reasonable management and control the risk of Agricultural Listed Companies. This study calculated the tail correlation and risk of Agricultural Listed Companies based on the newly developed Copula theory. The specific research contents are about the general calculation of Agricultural Listed Companies correlation and risk in Shanghai and Shenzhen stock markets and these indexes in different Industries and different areas.This study chose semi-parametric CML estimation method and non-parametric estimation method to estimate the parametric of Copula function after comparing the methods of parametric estimation, non-parametric estimation and semi-parametric estimation, and used K-S hypothesis testing to complete the test of goodness of fit. When choosing the model of risk estimation, this study chose the relatively perfect Monte Carlo simulation method, VaR and CVaR model to estimate the risk of different Agricultural Listed Companies.This study obtained the outcome by using Matlab software.The outcome shows that the Agricultural Listed Companies in Shanghai stock market and which in Shenzhen stock market have tail correlation, and the tail correlation is uneven. The four kinds of Agricultural Listed Companies in Shanghai and Shenzhen stock markets have tail correlation and the tail correlations are uneven. The risks in Shanghai stock market are higher than that in Shenzhen. There are differences between the four kinds of Agricultural Listed Companies; fisheries are of the highest risk followed by forestry, grassland farming is of the lowest risk.Policy recommendations:Investment in agriculture should be based on their risk preferences and consider the rear of listed companies and risks related to portfolio;Strengthen supervision, to reduce the influx of speculative funds agricultural listed companies; Strengthen the internal management of agricultural listed companies, to reduce the company's non-systematic risk.