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Portfolio optimizat...
Portfolio optimization based on GARCH-EVT-Copula forecasting models
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- Sahamkhadam, Maziar (författare)
- Linnéuniversitetet,Institutionen för ekonomistyrning och logistik (ELO),Linnaeus University, Växjö, Sweden
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- Stephan, Andreas (författare)
- Jönköping University,Linnéuniversitetet,Institutionen för ekonomistyrning och logistik (ELO),Jönköping university, Sweden,IHH, Centre for Family Entrepreneurship and Ownership (CeFEO),IHH, Nationalekonomi
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- Östermark, Ralf (författare)
- Åbo Akad Univ, Finland,Åbo Akademi, Turku, Finland
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(creator_code:org_t)
- Elsevier, 2018
- 2018
- Engelska.
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Ingår i: International Journal of Forecasting. - : Elsevier. - 0169-2070 .- 1872-8200. ; 34:3, s. 497-506
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-t and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-t copulas, are best at reducing the portfolio risk. (C) 2018 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business (hsv//eng)
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Nyckelord
- GARCH models
- Extreme value theory
- Copula models
- Conditional value-at-risk
- Portfolio optimization
- Economy
- Ekonomi
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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