Building Efficient Frontier for Non-normal Asset Returns using Copulas

Name: Building Efficient Frontier for Non-normal Asset Returns using Copulas
Brand: Éditions universitaires européennes
SKU: 9783841618221
Price: 64.03 EUR
Availability: InStock

Автор: Hela Mzoughi Chargui, Fayçal Mansouri

Език:

Корици: С меки корици

Издател: Éditions universitaires européennes

Наличност: Външен склад

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The aim of this work is to provide a comprehensive empirical study of the evolution of dependence st...

Информация за книгата

Автор

Hela Mzoughi Chargui, Fayçal Mansouri

Език

Френски език

Корици

Книга - С меки корици

Издадена

2016

страници

224

EAN

9783841618221

Enbook ID

15518987

Издател

Éditions universitaires européennes

Теглоt

352

Размери

150 x 220 x 13

Пълно описание

The aim of this work is to provide a comprehensive empirical study of the evolution of dependence structure and tail dependence for a large set of developed and emerging markets. Three methodological contributions are seriously developed. First and based on well documented literature on empirical regularities, a novel Mean-CVaR-Copula approach is introduced to allow for non linearity dependence structure and deviation from normality hypothesis. In order to do so, an alternative measure of diversification is involved to classical linear correlation model, which is suitable under normality hypothesis. Indeed, the joint distribution is modeled using Copulas functions to capt non linear dependence across market. Second, an extension of Kapil Agrawal's approach (2008) is proposed to provide more reliable results based on Copula theory. Third, a Copula theory methodology is developed to link long memory parameter (long range time dependence parameter) and Copula parameter (dependence parameter) in order to control financial crisis persistence and reduce their effect on assets allocation.

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Building Efficient Frontier for Non-normal Asset Returns using Copulas

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