Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach

Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach

© Springer International Publishing Switzerland 2016. We applied the vine copulas, which can measure the dependence structure of uncertainty in portfolio investments. C-vine and D-vine copulas based on capital asset pricing models were used to exhibit portfolio risk structure in the content of asset...

Full description

Saved in:
Bibliographic Details
Main Authors: Autchariyapanitkul K., Piamsuwannakit S., Chanaim S., Sriboonchitta S.
Format: Book Series
Published: 2017
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42469
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Chiang Mai University
id th-cmuir.6653943832-42469
record_format dspace
spelling th-cmuir.6653943832-424692017-09-28T04:27:19Z Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach Autchariyapanitkul K. Piamsuwannakit S. Chanaim S. Sriboonchitta S. © Springer International Publishing Switzerland 2016. We applied the vine copulas, which can measure the dependence structure of uncertainty in portfolio investments. C-vine and D-vine copulas based on capital asset pricing models were used to exhibit portfolio risk structure in the content of asset allocation. With this approach, we employed the Monte Carlo simulation and the empirical results of C-vine and D-vine copulas to determine the expected shortfall of an optimally weighted portfolio. Furthermore, we used the condition Value-at-Risk (CVaR) model with the assumption of C-vine and D-vine joint distribution to gain the maximum returns in portfolios. 2017-09-28T04:27:19Z 2017-09-28T04:27:19Z 2016-01-01 Book Series 1860949X 2-s2.0-84952690582 10.1007/978-3-319-27284-9_20 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42469
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
description © Springer International Publishing Switzerland 2016. We applied the vine copulas, which can measure the dependence structure of uncertainty in portfolio investments. C-vine and D-vine copulas based on capital asset pricing models were used to exhibit portfolio risk structure in the content of asset allocation. With this approach, we employed the Monte Carlo simulation and the empirical results of C-vine and D-vine copulas to determine the expected shortfall of an optimally weighted portfolio. Furthermore, we used the condition Value-at-Risk (CVaR) model with the assumption of C-vine and D-vine joint distribution to gain the maximum returns in portfolios.
format Book Series
author Autchariyapanitkul K.
Piamsuwannakit S.
Chanaim S.
Sriboonchitta S.
spellingShingle Autchariyapanitkul K.
Piamsuwannakit S.
Chanaim S.
Sriboonchitta S.
Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
author_facet Autchariyapanitkul K.
Piamsuwannakit S.
Chanaim S.
Sriboonchitta S.
author_sort Autchariyapanitkul K.
title Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
title_short Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
title_full Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
title_fullStr Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
title_full_unstemmed Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
title_sort optimizing stock returns portfolio using the dependence structure between capital asset pricing models: a vine copula-based approach
publishDate 2017
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/42469
_version_ 1681422195137445888

Similar Items