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Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 15، دوره 14، شماره 6، شهریور 2023، صفحه 197-210 اصل مقاله (1.01 M) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.27473.3617 | ||
| نویسندگان | ||
| Abdullah Alishavandi1؛ Mehrzad Minouei* 2؛ Mirfaiz FallahShams1؛ Gholamreza Zomorodian3 | ||
| 1Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran. | ||
| 2Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| 3Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran | ||
| تاریخ دریافت: 24 فروردین 1401، تاریخ بازنگری: 17 خرداد 1401، تاریخ پذیرش: 07 تیر 1401 | ||
| چکیده | ||
| This study aims at optimizing the portfolio of financial assets and in particular focuses on the stock market with conditional value at risk (CVaR) as the portfolio risk measure. This study uses generalized conditional heterogeneity variance methods, the dependency structure, the extreme value theory, and with the GARCH-EVT-Vine-Copula approach to optimize the portfolio and minimize the CVaR of a stock portfolio during a certain period by the re-weighting method. Modeling is based on the performance data of 7 companies among the top 50 listed companies during the period 2015 to 2021. The results show that considering the extreme values and structural dependence between the examined time series improves the risk identification between these markets. In addition, among the studied models, the out-of-sample results for the accumulated wealth function of different models show that when considering the dependence structure, the EGARCH-EVT model based on the Coppola Vine function results outperforms other models. | ||
| کلیدواژه‌ها | ||
| portfolio optimization؛ extreme value theory؛ Copulas functions؛ GARCH؛ conditional value at risk | ||
| مراجع | ||
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