Portfolio Optimization Of Dynamic Copula Models For Dependent Financial Data Using Change Point Approach
Yükleniyor...
Tarih
2016
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for ...nancial data. Determining thebest model of dependency between ...nancial data has an important role intaking appropriate investment decisions. Due to the ...nancial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment decisions. So this study presents an application of dynamic copulamodel with change point approach. We take the currency data (USD andEUR) from Turkish Central Bank to construct a portfolio. This study consists of two stages. In the ...rst stage, the marginal distributions and copulamodels of currency data are de...ned for full sample, and the portfolio optimization based on CV aR is performed. In the second stage, the change periodsof copula models are determined using binary segmentation method, and theportfolio optimization based on CV aR is performed for each period.
Açıklama
Anahtar Kelimeler
Matematik, İstatistik ve Olasılık
Kaynak
Communications Series A1: Mathematics and Statistics
WoS Q Değeri
N/A
Scopus Q Değeri
Cilt
65
Sayı
2
Künye
Kara, E. K., Kemaloğlu, S. A. (2016). Portfolıo Optımızatıon Of Dynamıc Copula Models For Dependent Fınancıal Data Usıng Change Poınt Approach. Communications Series A1: Mathematics and Statistics, 65(2), 175 - 188.
