Portfolio Selection Based on C-Vine Pair-Copula Constructionsand Markowitz Mean-Variance Model
碩士 === 國立中央大學 === 統計研究所 === 100 === How to allocate his/her wealth among di erent investment tools more e ciently for individual investor is an important issue especially in the volatile economic situation. The stock index returns exhibit complex patterns of tail dependence which can be captured by...
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| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75874115634150029510 |
| Summary: | 碩士 === 國立中央大學 === 統計研究所 === 100 === How to allocate his/her wealth among di erent investment tools more e ciently for
individual investor is an important issue especially in the volatile economic situation.
The stock index returns exhibit complex patterns of tail dependence which can be
captured by copula models. We apply pair-copula constructions for reducing the
load of estimation. Under Markowitz''s mean-variance framework, we construct two
portfolios based on two di erent return models: the multivariate normal distribution
and the C-vine pair-copula decomposed model. By examining four Taiwan stock
indices from 2002 to 2011, we nd that C-vine provides a better performance.
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