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

  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},
  • 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
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