Portfolio Selection Based on C-Vine Pair-Copula Constructionsand Markowitz Mean-Variance Model

• Main Authors: Yu-Zhe Kao, 高裕哲
• Other Authors: Cheng-Der Fu
• Format: Others
• Language: en_US
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/75874115634150029510

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.