Alishavandi, Abdullah, Minouei, Mehrzad, FallahShams, Mirfaiz, Zomorodian, Gholamreza. (1402). Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach. هنرهای کاربردی, 14(6), 197-210. doi: 10.22075/ijnaa.2022.27473.3617
Abdullah Alishavandi; Mehrzad Minouei; Mirfaiz FallahShams; Gholamreza Zomorodian. "Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach". هنرهای کاربردی, 14, 6, 1402, 197-210. doi: 10.22075/ijnaa.2022.27473.3617
Alishavandi, Abdullah, Minouei, Mehrzad, FallahShams, Mirfaiz, Zomorodian, Gholamreza. (1402). 'Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach', هنرهای کاربردی, 14(6), pp. 197-210. doi: 10.22075/ijnaa.2022.27473.3617
Alishavandi, Abdullah, Minouei, Mehrzad, FallahShams, Mirfaiz, Zomorodian, Gholamreza. Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach. هنرهای کاربردی, 1402; 14(6): 197-210. doi: 10.22075/ijnaa.2022.27473.3617

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
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
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