Portfolio optimization of stock returns in high-dimensions: A copula-based approach
© 2014 by the Mathematical Association of Thailand. All rights reserved. We used the multivariate t copula, which can capture the tail dependence to modeling the dependence structure of the risk in portfolio analysis. Multivariate t copula based on GARCH model was used to explain portfolio risk stru...
Saved in:
| Main Authors: | , , |
|---|---|
| 格式: | 雜誌 |
| 出版: |
2018
|
| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907234273&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53674 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|
| 機構: | Chiang Mai University |
| id |
th-cmuir.6653943832-53674 |
|---|---|
| record_format |
dspace |
| spelling |
th-cmuir.6653943832-536742018-09-04T09:55:12Z Portfolio optimization of stock returns in high-dimensions: A copula-based approach K. Autchariyapanitkul S. Sriboonchitta S. Chanaim Mathematics © 2014 by the Mathematical Association of Thailand. All rights reserved. We used the multivariate t copula, which can capture the tail dependence to modeling the dependence structure of the risk in portfolio analysis. Multivariate t copula based on GARCH model was used to explain portfolio risk structure for high-dimensional asset allocation issue. With this method we used the Monte Carlo simulation and the results of multivariate t copula to estimate the expected shortfall of the portfolio. Finally, we obtained the optimal weighted for conditional Value-at-Risk (CVaR) model with the assumption of multivariate distribution to illustrate the potential model risk among portfolios returns. 2018-09-04T09:55:12Z 2018-09-04T09:55:12Z 2014-01-01 Journal 16860209 2-s2.0-84907234273 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907234273&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53674 |
| institution |
Chiang Mai University |
| building |
Chiang Mai University Library |
| country |
Thailand |
| collection |
CMU Intellectual Repository |
| topic |
Mathematics |
| spellingShingle |
Mathematics K. Autchariyapanitkul S. Sriboonchitta S. Chanaim Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| description |
© 2014 by the Mathematical Association of Thailand. All rights reserved. We used the multivariate t copula, which can capture the tail dependence to modeling the dependence structure of the risk in portfolio analysis. Multivariate t copula based on GARCH model was used to explain portfolio risk structure for high-dimensional asset allocation issue. With this method we used the Monte Carlo simulation and the results of multivariate t copula to estimate the expected shortfall of the portfolio. Finally, we obtained the optimal weighted for conditional Value-at-Risk (CVaR) model with the assumption of multivariate distribution to illustrate the potential model risk among portfolios returns. |
| format |
Journal |
| author |
K. Autchariyapanitkul S. Sriboonchitta S. Chanaim |
| author_facet |
K. Autchariyapanitkul S. Sriboonchitta S. Chanaim |
| author_sort |
K. Autchariyapanitkul |
| title |
Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| title_short |
Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| title_full |
Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| title_fullStr |
Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| title_full_unstemmed |
Portfolio optimization of stock returns in high-dimensions: A copula-based approach |
| title_sort |
portfolio optimization of stock returns in high-dimensions: a copula-based approach |
| publishDate |
2018 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907234273&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53674 |
| _version_ |
1681424179291750400 |