The Worst Case GARCH-Copula CVaR Approach for Portfolio Optimisation: Evidence from Financial Markets
نویسندگان
چکیده
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given certain constraints, and has been well-studied. While ascertains asset combinations most suited investor requirements, numerous real-world problems impact its simplicity, e.g., preferences. Trading restrictions are also commonly faced must be met. However, in adding constraints Markowitz’s basic mean-variance model, problem complexity increases, causing difficulties for exact approaches large solutions inside reasonable timeframes. This paper addresses complexities by applying the Worst Case GARCH-Copula Conditional Value at Risk (CVaR) approach. In particular, GARCH-copula methodology is used model dependence structure, CVaR (WCVaR) considered as an alternative risk measure that able provide a more accurate evaluation financial compared traditional approaches. Copulas marginal each separately (which may any distribution) interdependencies between assets allows investment assessment applied order compare it with methods. this paper, we present two case studies evaluate performance WCVaR against VaR measure. The first study focuses on time series closing prices six major market indexes, while second considers dataset share Gulf Cooperation Council’s (GCC) oil-based companies. Results show values always higher than those VaR, demonstrating approach provides risk.
منابع مشابه
GJR-Copula-CVaR Model for Portfolio Optimization: Evidence for Emerging Stock Markets
Abstract T his paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to determine the structure of dependence. Finally, the impact of the dep...
متن کاملconditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market
ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Applying GARCH-EVT-Copula Models for Portfolio Value-at-Risk on G7 Currency Markets
This research estimates portfolio VaR (Value-at-Risk) on G7 exchange rates using a GJR-GARCH-EVT (extreme value theory)-Copula based approach. We first extracts the filtered residuals from each return series via an asymmetric GJR-GARCH model, then constructs the semi-parametric empirical marginal cumulative distribution function (CDF) of each asset using a Gaussian kernel estimate for the inter...
متن کاملCopula Concepts in Financial Markets
* Prof. Svetlozar T. Rachev (Corresponding Author): Chair of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT), Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA & Chief Scientist, FinAnalyt...
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: Journal of risk and financial management
سال: 2022
ISSN: ['1911-8074', '1911-8066']
DOI: https://doi.org/10.3390/jrfm15100482