Comparison of Value Risk Models and Coppola-CVaR in Portfolio Optimization in Tehran Stock Exchange

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Sina Afsaneh; Fallah Mirfeiz

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Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE Year:2020 | Volume:10 | Issue:1 (29) Page(s): 125-146

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Title

Comparison of Value Risk Models and Coppola-CVaR in Portfolio Optimization in Tehran Stock Exchange

Author(s)

Sina Afsaneh | Fallah Mirfeiz | Issue Writer Certificate

Keywords

Optimal Stock PortfolioQ1

CopulaQ1

Conditional Value at RiskQ1

Copula-GARCH.Q1

Abstract

To optimize the investment portfolio, Conditional Value at Risk is a new approach. To amend the non-normal distribution of return on assets, and the non-linear correlation between return, the modification of Copula-CVaR compound method has a better performance in measuring portfolio risk. In this study, it has been attempted to present a more efficient model for portfolio optimization that provides greater returns for investors, given the uncertainty investment conditions. The VaR model was compared variance-covariance approach and the Copula-CVaR model for their efficiency frontier. The research area entails of 2014 up 2018; The statistical population was the top 50 companies of TSE. The variance-covariance approach was used to estimate the VaR of the portfolio. Moreover to estimate the Copula-CVaR model we have used the ARIMA-GARCH time series disruption component of the asset return distribution; then the marginal distributions of the assets were estimated using the CAPA-Student function; finally through Monte Carlo simulation the return on assets and their CVaR for the 10-day period were calculated. The optimal portfolio composition was determined at 95% and 99% confidence levels for different levels of risk. The results of this study showed that the optimized portfolio formation using the compound model, the Copula-CVaR model, has performed better.

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APA: Copy

Sina, Afsaneh, & Fallah, Mirfeiz. (2020). Comparison of Value Risk Models and Coppola-CVaR in Portfolio Optimization in Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, 10(1 (29) ), 125-146. SID. https://sid.ir/paper/388597/en

Vancouver: Copy

Sina Afsaneh, Fallah Mirfeiz. Comparison of Value Risk Models and Coppola-CVaR in Portfolio Optimization in Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE[Internet]. 2020;10(1 (29) ):125-146. Available from: https://sid.ir/paper/388597/en

IEEE: Copy

Afsaneh Sina, and Mirfeiz Fallah, “Comparison of Value Risk Models and Coppola-CVaR in Portfolio Optimization in Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT PERSPECTIVE, vol. 10, no. 1 (29) , pp. 125–146, 2020, [Online]. Available: https://sid.ir/paper/388597/en

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