Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence

Saurav Kumar, Sujoy Bhattacharya and Satrajit Mandal

Macroeconomics and Finance in Emerging Market Economies, 2022, vol. 15, issue 2, 177-195

Abstract: This paper investigates energy commodities’ ability to diversify an equity portfolio across Asia-Pacific Markets. The joint behaviour of the energy commodities and stock index as noted through its shape, changed both temporally and across regime changes. Restricting short selling of stock index by assigning a greater than zero weight on the equity index improved return from the portfolio across regimes. The tail risk optimized portfolio gave the best risk-return trade-off. Though this was the case, one could use VaR and variance as risk measures with higher-order dependence on copulas in the optimization, if there were no constraints on portfolio returns.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17520843.2021.1922167 (text/html)
Access to full text is restricted to subscribers.

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:taf:macfem:v:15:y:2022:i:2:p:177-195

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REME20

DOI: 10.1080/17520843.2021.1922167

Access Statistics for this article

Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal

More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().