2014

PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for financial data. Determining thebest model of dependency between financial data has an important role intaking appropriate investment decisions. Due to the financial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment decisions. So this study presents an application of dynamic copulamodel with change point approach. We take the currency data (USD andEUR) from Turkish Central Bank to construct a portfolio. This study consists of two stages. In the first stage, the marginal distributions and copulamodels of currency data are defined for full sample, and the portfolio optimization based on CV aR is performed. In the second stage, the change periodsof copula models are determined using binary segmentation method, and the portfolio optimization based on CV aR is performed for each period

Keywords:

Dynamic copula, change point Conditional Value at Risk (CV aR), portfolio optimization,

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Current address : Emel KIZILOK KARA, Kirikkale University, Faculty of Arts and Sciences, Department of Actuarial Science, Kirikkale - TURKEY
E-mail address : emel.kizilok@gmail.com
Current address : Sibel ACIK KEMALOGLU Ankara University, Faculty of Sciences, Depart- ment. of Statistics, Ankara, TURKEY (Corresponding Author)
E-mail address : acik@science.ankara.edu.tr

Communications Faculty of Sciences University of Ankara Series A1 Mathematics and Statistics-Cover

ISSN: 1303-5991
Yayın Aralığı: Yılda 4 Sayı
Başlangıç: 1948
Yayıncı: Ankara Üniversitesi

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