MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR

Sibel AÇIK KEMALOGLU; Emel KIZILOK KARA

doi:https://doi.org/10.1501/Commua1_0000000723

Makale detayları

MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR

Yazarlar:

Sibel AÇIK KEMALOGLU | Emel KIZILOK KARA

Yayıncı:

Ankara University

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 1, pp.1-13

Belge Tipi:

Makale

Yayın Tarihi:

1/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000909849

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.1501/Commua1_0000000723

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 modelis applied with Monte Carlo simulation. As an application, a portfolio withfour different Indexes is constructed from the Turkish financial markets. Themarginal distributions of assets in the portfolio are estimated and parameterestimates are given for the different copula models. The portfolio optimizationbased on CVaR is made for the portfolio created from the specified copula model.

Makale detayları

MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR

Yazarlar: Sibel AÇIK KEMALOGLU | Emel KIZILOK KARA

Yayıncı: Ankara University

Dergi: Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 1, pp.1-13

Belge Tipi: Makale

Yayın Tarihi: 1/2015

Belge Dili: İngilizce

Document ID (Org No.): 2000909849

Sıklık: Üç Aylık

eISSN: 2618-6470

pISSN: 1303-5991

DOI: https://doi.org/10.1501/Commua1_0000000723

Sayı

Yazarlar:

Sibel AÇIK KEMALOGLU | Emel KIZILOK KARA

Yayıncı:

Ankara University

Dergi:

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics 2015 Vol.64 Issue 1, pp.1-13

Belge Tipi:

Makale

Yayın Tarihi:

1/2015

Belge Dili:

İngilizce

Document ID (Org No.):

2000909849

Sıklık:

Üç Aylık

eISSN:

2618-6470

pISSN:

1303-5991

DOI:

https://doi.org/10.1501/Commua1_0000000723