The optimal portfolio under VaR and ES
Journal Title: Operations Research and Decisions - Year 2014, Vol 24, Issue 2
Abstract
An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime switching copula based model including asymmetric and fat-tailed copulas. All the indices are left-skewed and fat-tailed. Large indices are more skewed and less fail-tailed. The findings suggest that size of a market has an influence on its properties. A particular behaviour of the Turkish market suggests the importance of geographical factors. It is also suggested that the maturity of a market is insignificant in the analysis. Another important conclusion drawn from our empirical investigation is that VaR is a less exact risk measure than ES. However, the dynamics of the temporal and statistical properties of both measures are similar.
Authors and Affiliations
Artur Machno, Henryk Gurgul
Keywords
Related Articles
- EP ID EP166454
- DOI -
- Views 35
- Downloads 0
Dimension, egalitarianism and decisiveness of European voting systems
An analysis of three major aspects has been carried out that may apply to any of the successive voting systems used for the European Union Council of Ministers, from the first one established in the Treaty of Rome in 195...
Evaluating organizational antifragility via fuzzy logic. The case of an Iranian company producing banknotes and security paper.
The concept of antifragility has received much attention from researchers in recent years. Contrary to fragile systems which fail when exposed to stressors, antifragile systems prosper and improve in response to unpredic...
Influence of intra-organizational trust on organizational outcomes
Nowadays, trust is perceived as one of the key factors that can build an organization’s competitive advantage, increase the efficiency of its functioning and ability to develop. It can be expected that shaping trust in a...
A study on the influence of the discretisation unit on the effectiveness of modelling currency exchange rates using the binary-temporal representation
An exchange rate can be expressed in the form of a binary-temporal representation. Such a representation is based on a discretization of movements in the exchange rate, in which to each change in the value - equal to a g...
Decisions involving databases, fuzzy databases and codatabases
The authors consider the following three ways of decision making: (i) decisions involving databases by means of standard tools of sequential logic and universal algebra; (ii) deci sions involvingfuzzy databases by means...