PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY

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FALAHPUR SAID; FEYZOLAH SAMINE

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2016 | Volume:9 | Issue:30 Page(s): 33-54

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Information Journal Paper

Title

PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY

Author(s)

FALAHPUR SAID | FEYZOLAH SAMINE | Issue Writer Certificate

Keywords

PORTFOLIO SELECTION

LOWER TAIL DEPENDENCE

EXTREME VALUE THEORY

Abstract

PORTFOLIO SELECTION is an important problem in area of finance. Researchers have always tried to work with a variety of methods and strategies to achieve this important issue.In this research has been trying to present a new approach for PORTFOLIO SELECTION with use of LOWER TAIL DEPENDENCE and EXTREME VALUE THEORY.We show theoretically that LOWER TAIL DEPENDENCE (c), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate c for a sample of stocks and show that it differs systematically from other risk measures including variance, semi-variance, skewness, kurtosis, beta, and coskewness. In out-of-sample tests, portfolios constructed to have low values of c outperform the market index, and portfolios with high values of c Our results indicate that c is conceptually important for risk-averse investors, differs substantially from other risk measures, and provides useful information for PORTFOLIO SELECTION.

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References

ESTIMATING THE VALUE AT RISK USING EXTREME VALUE THEORY IN TEHRAN STOCK EXCHANGE

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APA: Copy

FALAHPUR, SAID, & FEYZOLAH, SAMINE. (2016). PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 9(30), 33-54. SID. https://sid.ir/paper/200208/en

Vancouver: Copy

FALAHPUR SAID, FEYZOLAH SAMINE. PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2016;9(30):33-54. Available from: https://sid.ir/paper/200208/en

IEEE: Copy

SAID FALAHPUR, and SAMINE FEYZOLAH, “PORTFOLIO SELECTION WITH LOWER TAIL DEPENDENCE AND EXTREME VALUE THEORY,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 9, no. 30, pp. 33–54, 2016, [Online]. Available: https://sid.ir/paper/200208/en

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