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Dergiler / Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics / 2026 / Volume: 64 Issue: 1

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

Sibel Açık Kemaloglu
Emel Kızılok Kara
Sayfa
—
Yayın Tarihi
2015-02-01
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⚡ TL;DR(1 Cümlede Hızlı Çıkarım)

The portfolio optimizationbased on CVaR is made for the portfolio created from the specified copula model

📌 3 Maddede Bu Makale

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Amaç & Hipotez:This paper is concerned with the statistical modeling of the dependence structure of multivariate financial data using copula.
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Temel Bulgular & Veri:Since financial data is greatly affected by the economic factors, it often varies according to the time.
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Sonuç & Katkı:The portfolio optimizationbased on CVaR is made for the portfolio created from the specified copula model
🔬Tür:Modelleme & Sayısal Simülasyon
📍Kapsam:Genişletilmiş Akademik Örneklem
⚙️Değişkenler:Alan Parametreleri

Abstract

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

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Bu Makaleye Atıf Yap

Kemaloglu, S. A., Kara, E. K. (2015). MODELING DEPENDENT FINANCIAL ASSETS BY DYNAMIC COPULA AND PORTFOLIO OPTIMIZATION BASED ON CVAR. Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics, Volume: 64 Issue: 1. https://doi.org/10.1501/Commua1_0000000723

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Kaynakça (19)

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