Dynamic optimization of an investment portfolio on European stock markets using pair copulas

Isuf Atskanov (atskanov@gmail.com)
Additional contact information
Isuf Atskanov: Aton Asset Management, Moscow, Russian Federation

Applied Econometrics, 2015, vol. 40, issue 4, 84-105

Abstract: This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio is upgrading accordingly. The portfolio is then compared with two benchmarks in terms of return and risk. As a result the proposed procedure provides better performance. Also, the paper studies building a portfolio with short positions

Keywords: SJC-copulas; dynamic portfolio optimization; asset returns interdependence; Monte-Carlo simulation; CVaR (search for similar items in EconPapers)
JEL-codes: C15 C61 C63 G11 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2015_4_84-105.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0279

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky (p.ekonometrika@gmail.com).