MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR

Abstract

This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using copula. Since ...nancialdata is greatly ağected by the economic factors, it often varies according tothe time. Therefore, dynamic copula model is used that takes into account thetime-varying. In addition, portfolio optimization based on Mean-CVaR modelis applied with Monte Carlo simulation. As an application, a portfolio withfour diğerent Indexes is constructed from the Turkish ...nancial markets. Themarginal distributions of assets in the portfolio are estimated and parameterestimates are given for the diğerent copula models. The portfolio optimizationbased on CVaR is made for the portfolio created from the specified copulamodel