Correlation Analysis and Optimal Portfolio in UK and US Stock Markets- Based on Copula-VaR Function

Studying the correlation between various stock and selecting risk of optimal portfolio are key topics current research. In macro field, it is a further problem with delving into in different markets. The researchers found that copula function can break restrictions traditional normal hypothesis linear correlation, which has significant advantage studying market to choose portfolio. This study employed S&P500 represent American market, FTSE British model select best through function, applied management (VaR) analysis obtain stocks. research results show student’s t Copula five functions fits two markets Britain United States. them reveals descendent trend from extreme upward stage downward stage. Finally, suggested investors 60% 40% for their investment