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={Rand Kwong Yew Low and J. Alcock and Robert W. Faff and T. Brailsford},
  journal={Risk Management eJournal},
  year={2013}
}
  • Rand Kwong Yew Low, J. Alcock, +1 author T. Brailsford
  • Published 2013
  • Economics
  • Risk Management eJournal
  • 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 to 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… CONTINUE READING
    Vine Copulas: Modelling Systemic Risk and Enhancing Higher�?Moment Portfolio Optimisation
    • 8
    • PDF
    Vine Copulas: Modeling Systemic Risk and Enhancing Higher-Moment Portfolio Optimization
    • 5
    • Highly Influenced
    Statistical arbitrage with vine copulas
    • 19
    • PDF
    Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
    • 29
    • Highly Influenced
    • PDF

    References

    Publications referenced by this paper.
    SHOWING 1-10 OF 58 REFERENCES
    Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
    • 2,019
    • Highly Influential
    • PDF
    Optimization of conditional value-at risk
    • 4,211
    • PDF
    On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
    • 338
    • Highly Influential
    Portfolio Construction Incorporating Asymmetric Dependence Structures: A User's Guide
    • 34
    Asymmetric Correlations of Equity Portfolios
    • 1,329
    • Highly Influential
    • PDF
    Optimum Consumption and Portfolio Rules in a Continuous-Time Model*
    • 2,769
    Investing for the Long Run When Returns are Predictable
    • 1,150
    • PDF
    Extreme Correlation of International Equity Markets
    • 2,190
    • PDF
    Theory of Financial Decision Making
    • 1,719
    Recovering copulas from limited information and an application to asset allocation
    • Ba Chu
    • Chemistry, Economics
    • 2011
    • 34