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 32
- Downloads 0
Opinion formation in social networks
A number of selected works on the dynamics of opinions and beliefs in social networks has been discussed. Both Bayesian and non-Bayesian approaches to social learning have been considered, but the analysis has been focus...
Exchange of goods while investing into production and safety
The tradeoff between production and safety investment is scrutinized for two agents who convert resources into production and safety investment while simultaneously exchanging goods voluntarily. We quantify how two Cobb–...
Efficiency measurement in dynamic two-stage network structures with flexible intermediate materials
Data envelopment analysis (DEA) is a nonparametric method for evaluating the relative efficiency of decision making units (DMUs) described by multiple inputs and multiple outputs. Since DEA was introduced in the 1970s, i...
Forecast value added (FVA) analysis as a means to improve the efficiency of a forecasting process
A praxeological approach has been proposed in order to improve a forecasting process through the employment of the forecast value added (FVA) analysis. This may be interpreted as a manifestation of lean management in for...
Graphical presentation of a measure of an employee's competence for a job position
The main objective of this paper was to develop a graphical presentation of a measure of an employee’s competence (ECVM) for a job position. In this context, the essence and formula for measuring the value of an employee...