权重 $w$

日均收益率

累计收益率

夏普比率

MV model

${\left(0.2404,0.7596\right)}^{\text{T}}$

−2.98 × 10⁻⁴

−0.1456

−0.0122

Normal-Copula-WCVaR

${\left(0.4271,0.5729\right)}^{\text{T}}$

−3.72 × 10⁻⁴

−0.1815

−0.0157

GARCH-EVT-Copula-WCVaR

${\left(0.3688,0.6312\right)}^{\text{T}}$

−3.49 × 10⁻⁴

−0.1703

−0.0146