Modeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvar

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dc.contributor.authorKemaloglu, Sibel Acik
dc.contributor.authorKara, Emel Kizilok
dc.date.accessioned2020-06-25T18:15:56Z
dc.date.available2020-06-25T18:15:56Z
dc.date.issued2015
dc.departmentKırıkkale Üniversitesi
dc.descriptionKemaloglu, Sibel Acik/0000-0003-0449-6966
dc.description.abstractThis 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.en_US
dc.identifier.citationAçık 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 .en_US
dc.identifier.doi10.1501/Commua1_0000000723
dc.identifier.endpage13en_US
dc.identifier.issn1303-5991
dc.identifier.issue1en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://doi.org/10.1501/Commua1_0000000723
dc.identifier.urihttps://hdl.handle.net/20.500.12587/6350
dc.identifier.volume64en_US
dc.identifier.wosWOS:000441803500001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.language.isoen
dc.publisherAnkara Univ, Fac Scien_US
dc.relation.ispartofCommunications Faculty Of Sciences University Of Ankara-Series A1 Mathematics And Statistics
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectDynamic copulaen_US
dc.subjectCVaRen_US
dc.subjectportfolio optimizationen_US
dc.titleModeling Dependent Financial Assets By Dynamic Copula And Portfolio Optimization Based On Cvaren_US
dc.typeArticle

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