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Application of Copula-CVaR in Portfolio Optimization and Comparative with Mean-CVaR
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Seid Fallahpour   , Mehdi Baghban * |
| university of tehran , m.baghban@ut.ac.ir |
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Abstract: (6933 Views) |
| Portfolio optimization is one of the challenges facing businesses. Different experts with different assumptions for each asset in the portfolio invested in finding the optimal weights are different ways to do this is to design and implement, since one of the major activities of investment funds, the investment company and etc Is portfolio optimization, select the appropriate method of optimization is essential for the company. Due to the limitations of the mean-variance method based on the normal distribution of asset returns. Technique without these limitations, the use of companies and investors are better. On the other hand, if the measure of conditional value at risk (CVaR), in addition to having all the standard features of the Value at Risk (VaR), has more advantages than the criterion value at risk, such as simply computing a more accurate measure of risk, consider taking various possibilities for different scenarios, we also investigate why their currency risk criteria used to conditional value at risk. Based on this research for both gold and copper using weekly data beginning 2002 to end 2013 using Gussian copula Finally, we would like to create an optimal portfolio and establish evaluation it’s. Sharp ratio with sharp ratio of mean-CVaRoptimazation |
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| Keywords: Portfolio Optimization, Copula Function, Value at Risk, Conditional Value at Risk. |
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Full-Text [PDF 247 kb]
(3192 Downloads)
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Type of Study: Applicable |
Subject:
Special
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