Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach
- سال انتشار: 1402
- محل انتشار: مجله آنالیز غیر خطی و کاربردها، دوره: 14، شماره: 6
- کد COI اختصاصی: JR_IJNAA-14-6_015
- زبان مقاله: انگلیسی
- تعداد مشاهده: 64
نویسندگان
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
چکیده
This study aims at optimizing the portfolio of financial assets and in particular focuses on the stock market with conditional value at risk (CVaR) as the portfolio risk measure. This study uses generalized conditional heterogeneity variance methods, the dependency structure, the extreme value theory, and with the GARCH-EVT-Vine-Copula approach to optimize the portfolio and minimize the CVaR of a stock portfolio during a certain period by the re-weighting method. Modeling is based on the performance data of ۷ companies among the top ۵۰ listed companies during the period ۲۰۱۵ to ۲۰۲۱. The results show that considering the extreme values and structural dependence between the examined time series improves the risk identification between these markets. In addition, among the studied models, the out-of-sample results for the accumulated wealth function of different models show that when considering the dependence structure, the EGARCH-EVT model based on the Coppola Vine function results outperforms other models.کلیدواژه ها
Portfolio Optimization, extreme value theory, Copulas functions, Garch, Conditional Value at Riskاطلاعات بیشتر در مورد COI
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