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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
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Multivariate Bilateral Gamma, Copulas, CoSkews and CoKurtosis
Madan, Dilip B. - 2020
Correlation graphs are introduced to delineate the levels observed in data and models for return and squared return correlations. A sample of 2048 representative pairs of equity assets is selected from a possible collection of 381,501 pairs by quantization. Five copulas are estimated and...
Persistent link: https://www.econbiz.de/10012832858
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Pair-Copulas Modeling in Finance
Mendes, Beatriz V.M. - 2010
This paper concerns itself with applications of pair-copulas in finance, and bridges the gap between theory and application. We provide a broad view of the problem of modeling multivariate financial log-returns using pair-copulas, gathering together for this purpose theoretical and computational...
Persistent link: https://www.econbiz.de/10013142054
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011313230
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A Multivariate Pure-Jump Model with Multi-Factorial Dependence Structure
Marfè, Roberto - 2012
In this work we propose a new approach to build multivariate pure jump processes. We introduce linear and nonlinear dependence, without restrictions on marginal properties, by imposing a multi-factorial structure separately on both positive and negative jumps. Such a new approach provides higher...
Persistent link: https://www.econbiz.de/10013115233
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Cost of Capital and Valuation with Imperfect Diversification and Unsystematic Risks
Wolfrum, Marco - 2010
) are being planned? 2. Diversification. How should non-diversified (idiosyncratic) risks in capital cost and valuation be … returns to be evaluated. Chapter III then shows how a replication model can be used to take imperfect diversification into … account. The equity capital cost rate is calculated for an arbitrary degree of diversification and it is shown how a company …
Persistent link: https://www.econbiz.de/10013152153
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …
Persistent link: https://www.econbiz.de/10010499593
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Cryptocurrencies, diversification and the COVID-19 pandemic
Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum … Index. This suggests that investments in cryptocurrencies are not likely to offer key diversification strategies in times of …
Persistent link: https://www.econbiz.de/10013161685
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Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data
Avdulaj, Krenar - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new … to competing models. Employing a recently proposed conditional diversification benefits measure that considers higher …-order moments and nonlinear dependence from tail events, we document decreasing benefits from diversification over the past ten …
Persistent link: https://www.econbiz.de/10013035318
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Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach
Christoffersen, Peter - 2013
. We propose new measures of dynamic diversification benefits that take into account higher order moments and nonlinear … dependence. The benefits from international diversification have reduced over time, drastically so for DMs. EMs still offer … significant diversification benefits, especially during large market downturns …
Persistent link: https://www.econbiz.de/10013090940