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Contribution Details

Type Book Chapter
Scope Discipline-based scholarship
Title COBra: Copula-Based Portfolio Optimization
Organization Unit
Authors
  • Marc Paolella
  • Pawel Polak
Editors
  • Vladik Kreinovich
  • Songsak Sriboonchitta
  • Nopasit Chakpitak
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Booktitle Predictive Econometrics and Big Data
Series Name Studies in Computational Intelligence
ISBN 978-3-319-70941-3
Number 753
Place of Publication Cham
Publisher Springer International Publishing
Page Range 36 - 77
Date 2018
Abstract Text The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a model for asset allocation. A method of parameter estimation is deployed that is nearly instantaneous for large dimensions. The expected shortfall of the portfolio distribution is obtained by combining simulation with a parametric approximation for speed enhancement. A simulation-based method for mean-expected shortfall portfolio optimization is developed. An extensive out-of-sample backtest exercise is conducted and comparisons made with common asset allocation techniques.
Related URLs
Digital Object Identifier 10.1007/978-3-319-70942-0_3
Other Identification Number merlin-id:19981
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