| 权重 | 日均收益率 | 累计收益率 | 夏普比率 |
MV model |
| −2.98 × 10−4 | −0.1456 | −0.0122 |
Normal-Copula-WCVaR |
| −3.72 × 10−4 | −0.1815 | −0.0157 |
GARCH-EVT-Copula-WCVaR |
| −3.49 × 10−4 | −0.1703 | −0.0146 |