金融市场的深入发展促进了国民经济的发展,也进一步加剧了金融市场间的投资风险,以风险最小化为目标的投资组合优化模型是一种有效管理金融资产风险的方法。一些模型中多使用CVa R的静态模型来作为目标函数,但市场是在不断变化的,所以CVa R的静态模型就会受到限制,以及使用关联函数的同时没有考虑到Copula函数的多样性等局限性,本文构建了基于Paur-Copula-EGARCH-CVa R的时变投资组合优化模型,使建立的新模型更加贴合实际。 The further development of the financial market has promoted the development of the national economy and further aggravated the investment risk among financial markets. The portfolio optimization model, which aims to minimize the risk, is a method to effectively manage the risk of financial assets. Some models use CVa R’s static model as an objective function, but the market is constantly changing, so the static model of CVa R is limited and the limitations of using Copula functions without considering the multiplicity of Copula functions In this paper, a time-varying portfolio optimization model based on Paur-Copula-EGARCH-CVa R is constructed, which makes the new model more practical.