کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
6897578 | 1446032 | 2014 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Robust portfolio optimization with copulas
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Conditional Value at Risk (CVaR) is widely used in portfolio optimization as a measure of risk. CVaR is clearly dependent on the underlying probability distribution of the portfolio. We show how copulas can be introduced to any problem that involves distributions and how they can provide solutions for the modeling of the portfolio. We use this to provide the copula formulation of the CVaR of a portfolio. Given the critical dependence of CVaR on the underlying distribution, we use a robust framework to extend our approach to Worst Case CVaR (WCVaR). WCVaR is achieved through the use of rival copulas. These rival copulas have the advantage of exploiting a variety of dependence structures, symmetric and not. We compare our model against two other models, Gaussian CVaR and Worst Case Markowitz. Our empirical analysis shows that WCVaR can asses the risk more adequately than the two competitive models during periods of crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 235, Issue 1, 16 May 2014, Pages 28-37
Journal: European Journal of Operational Research - Volume 235, Issue 1, 16 May 2014, Pages 28-37
نویسندگان
Iakovos Kakouris, Berç Rustem,