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Data in the 21st Century Read chapter Read first chapter

2018 | OriginalPaper | Chapter

COBra: Copula-Based Portfolio Optimization

Authors : Marc S. Paolella, Paweł Polak

Published in: Predictive Econometrics and Big Data

Publisher: Springer International Publishing

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Abstract

The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a model for asset allocation. A method of parameter estimation is deployed that is nearly instantaneous for large dimensions. The expected shortfall of the portfolio distribution is obtained by combining simulation with a parametric approximation for speed enhancement. A simulation-based method for mean-expected shortfall portfolio optimization is developed. An extensive out-of-sample backtest exercise is conducted and comparisons made with common asset allocation techniques.

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Metadata
Title
COBra: Copula-Based Portfolio Optimization
Authors
Marc S. Paolella
Paweł Polak
Copyright Year
2018
Book
Predictive Econometrics and Big Data

Print ISBN: 978-3-319-70941-3

Electronic ISBN: 978-3-319-70942-0

Copyright Year: 2018

DOI
https://doi.org/10.1007/978-3-319-70942-0_3

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