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...

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Main Authors: Kittawit Autchariyapanitkul, Sutthiporn Piamsuwannakit, Somsak Chanaim, Songsak Sriboonchitta
Format: Book Series
Published: 2018
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Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55585
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-555852018-09-05T02:58:11Z Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach Kittawit Autchariyapanitkul Sutthiporn Piamsuwannakit Somsak Chanaim Songsak Sriboonchitta Computer Science © 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. 2018-09-05T02:58:11Z 2018-09-05T02:58:11Z 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/6653943832/55585
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Computer Science
spellingShingle Computer Science
Kittawit Autchariyapanitkul
Sutthiporn Piamsuwannakit
Somsak Chanaim
Songsak Sriboonchitta
Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
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 Kittawit Autchariyapanitkul
Sutthiporn Piamsuwannakit
Somsak Chanaim
Songsak Sriboonchitta
author_facet Kittawit Autchariyapanitkul
Sutthiporn Piamsuwannakit
Somsak Chanaim
Songsak Sriboonchitta
author_sort Kittawit Autchariyapanitkul
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 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55585
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