Modeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvar
Yükleniyor...
Tarih
2015
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Ankara Univ, Fac Sci
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using copula. Since financial data is greatly affected by the economic factors, it often varies according to the time. Therefore, dynamic copula model is used that takes into account the time-varying. In addition, portfolio optimization based on Mean-CVaR model is applied with Monte Carlo simulation. As an application, a portfolio with four different Indexes is constructed from the Turkish financial markets. The marginal distributions of assets in the portfolio are estimated and parameter estimates are given for the different copula models. The portfolio optimization based on CVaR is made for the portfolio created from the specified copula model.
Açıklama
Kemaloglu, Sibel Acik/0000-0003-0449-6966
Anahtar Kelimeler
Dynamic copula, CVaR, portfolio optimization
Kaynak
Communications Faculty Of Sciences University Of Ankara-Series A1 Mathematics And Statistics
WoS Q DeÄŸeri
N/A
Scopus Q DeÄŸeri
Cilt
64
Sayı
1
Künye
Açık Kemaloglu, S. & Kızılok Kara, E. (2015). Modeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvar . Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics , 64 (1) , 1-13 .
