Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

@article{Low2013CanonicalVC,
  title={Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?},
  author={R. Low and Jamie Alcock and Robert W. Faff and T. Brailsford},
  journal={Econometric Modeling: Capital Markets - Portfolio Theory eJournal},
  year={2013}
}
In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized by the minimization of Conditional Value-at-Risk (CVaR). We examine the efficient frontiers produced by each model and focus on comparing two methods for incorporating scalable asymmetric dependence… Expand
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