چکیده:
With the aim of portfolio optimization and management, this article utilizes the
Clayton-copula along with copula theory measures. Portfolio-Optimization is one
of the activities in investment funds. Thus, it is essential to select an appropriate
optimization method. In modern financial analyses, there is growing evidence
indicating the distribution of proceeds of financial properties is not customary.
However, in common risk management methods the main assumption is that the
distribution of assets returns is normal. When the distribution of earnings isn’t
normal, the linear correlation coefficient isn’t considered to be an appropriate
measure to express the dependency structure. The investors are required to make
use of methods that concentrate on the aggregated risks, considering the whole
positions and the links between risk factors and assets. Therefore, we use copula
as an alternative measure to model the dependency structure in this research. In
this regard, given the weekly data pertaining to the early 2002 until the late 2013,
we use Clayton-copula to generate an optimized portfolio for both copper and
gold. Finally, the Sharpe ratio obtained through this method is compared with the
one obtained through Markowitz mean-variance analysis to ascertain that Claytoncopula
is more efficient in portfolio-optimization.
خلاصه ماشینی:
Application of Clayton Copula in Portfolio Optimization and its Comparison with Markowitz Mean-Variance Analysis Roya Darabi*, Mehdi Baghban Department of Accounting, South Tehran Branch, Islamic Azad University, Tehran, Iran.
Using the method of copula- GARCH, Ang and Chen [4] investigated portfolio risk in China’s Stock Market.
After design- ing the copula model, this model can describe the joint distribution involving all dependence struc- ture, using it we can grasp a better conclusion for risk management and portfolio management, which is more accurate than the results given by normal hypothesis.
If we want to take care of the variables which are not distributed elliptically and to increase the ac- curacy of risk measuring, we can use the copula in the portfolio optimization, noting that we must express the variances without normal hypothesis.
This analytical calculating formulation, let us have the optimization of a portfolio manager using the copula method as follows; (View the image of this page)In which K is the portfolio target return.
Finally, the Sharpe ratio obtained through this method is compared with the one obtained through Markowitz mean-variance analysis to ascertain that Clayton-copula is more efficient in portfolio-optimization.
Finally, the Sharpe ratio obtained through this method is compared with the one obtained through Markowitz mean-variance analysis to ascertain that Clayton-copula is more efficient in portfolio-optimization.
Also our research results are based on researches results of Jondeau & Rockinger [24], Aleš Kresta [3], Cherubini & Luciano & Vecchiato [11], Lujie Sun & Manying Bai [29] and Chollete et al.