Copula-based Black–Litterman Portfolio Optimization
نویسندگان
چکیده
منابع مشابه
Portfolio Selection Based on a Simulated Copula
In this paper, we propose a methodology to value the portfolio choices based on the prediction of future returns where the dependence structure of joint returns and the behavior of single returns are estimated separately. In particular, we assume the marginals evolve as an ARMA(0,2)-GARCH(0,2) model with stable paretian residuals and the joint distribution of residuals is estimated with an asym...
متن کاملPortfolio Optimization with Multivariate Copula: a Monte Carlo Study
According to Markowitz (1952) portfolio theory assumed that the investor has a concave utility function that expresses an attitude of risk aversion and managed to put portfolio selection based on two criteria, mean and variance. Other studies have improved this approach and following Basel II recommendations by using Value-at-Risk (VaR) as a standard risk measure in finance, Alexander & Baptist...
متن کاملPortfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we employ a graphical method based on visual comparison of the fitted copula density and the smoothed copula...
متن کاملA Robust Knapsack Based Constrained Portfolio Optimization
Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted p...
متن کاملRobustness-based portfolio optimization under epistemic uncertainty
In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2021
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2021.06.015