| Title | Portfolio management using time-varying vine copula: an application on the G7 equity market indices |
| Author | |
| Corresponding Author | Nguyen, Phong Minh |
| Publication Years | 2022-09-01
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| DOI | |
| Source Title | |
| ISSN | 1351-847X
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| EISSN | 1466-4364
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| Abstract | We consider structural breaks and use vine copulas to hierarchically model the underlying assets' dependence structure of the portfolio of G7 equity market indices (1998-2019). This framework is noticed for its flexibility in capturing asymmetry and non-linearity in a time-varying style. We compare the portfolio performance in terms of the minimum Conditional Value-at-risk (CVaR) and the maximum return-to-CVaR ratio criteria with the traditional mean-variance framework and the equal-weighted strategy. The outcomes show the outperformance of our method across subperiods. Canonical vine copula marginally outperforms drawable vine copula in terms of return-to-risk ratio. Our proposed vine copula models better capture the risk-return tradeoff especially during critical market moments. |
| Keywords | |
| URL | [Source Record] |
| Indexed By | |
| Language | English
|
| SUSTech Authorship | Others
|
| WOS Research Area | Business & Economics
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| WOS Subject | Business, Finance
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| WOS Accession No | WOS:000857401900001
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| Publisher | |
| Data Source | Web of Science
|
| Citation statistics |
Cited Times [WOS]:0
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| Document Type | Journal Article |
| Identifier | http://kc.sustech.edu.cn/handle/2SGJ60CL/406086 |
| Department | Department of Finance |
| Affiliation | 1.Federat Univ Australia, Inst Innovat Sci & Sustainabil IISS, Ballarat, Vic, Australia 2.Southern Univ Sci & Technol, Dept Finance, Shenzhen, Peoples R China |
| Recommended Citation GB/T 7714 |
Nguyen, Phong Minh,Liu, Wei-Han. Portfolio management using time-varying vine copula: an application on the G7 equity market indices[J]. European Journal of Finance,2022.
|
| APA |
Nguyen, Phong Minh,&Liu, Wei-Han.(2022).Portfolio management using time-varying vine copula: an application on the G7 equity market indices.European Journal of Finance.
|
| MLA |
Nguyen, Phong Minh,et al."Portfolio management using time-varying vine copula: an application on the G7 equity market indices".European Journal of Finance (2022).
|
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