Record Details

Portfolio Optimization And Sharpe Ratio Based On Copula Approach

Research Journal of Economics, Business and ICT

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Field Value
 
Title Portfolio Optimization And Sharpe Ratio Based On Copula Approach
 
Creator Bohdalová, Mária; Comenius University in Bratislava
Faculty of Management
Odbojárov 10
820 05 Bratislava 25
Greguš, Michal; Comenius University in Bratislava
Faculty of Management
Odbojárov 10
820 05 Bratislava 25
 
Subject —
Capm, Copula, Portfolio, Sharpe Ratio, Value–At–Risk (Var)
G11, G12, G32, C80, C58
 
Description In this paper we will discuss the allocation problem from the perspective of an asset manager or an investment institution. Investors make decision about efficient allocation of their resources. To utilize their resources efficiently they need to balance high return, higher risk activities with those that have low return and lower risk. But how should they choose the ‘best’ mix of activities? How can a fund manager choose his investments in different assets to optimize the performance of his portfolio? How should he measure the performance of his investments? How should he control the risk of his portfolio? The investors need to use methods that focus on the proper aggregation of risks, taking into account the netting of positions and the correlations between assets and risk factors. Because of these reasons we use copula approach to compute optimal portfolio weight. In this paper we have used the optimization of the portfolio weight based on maximized Generalized Sharpe Ratio. We have also computed Generalized Sharpe Ratio based on Value–at–Risk of our portfolio as a risk measure.
 
Publisher English Time Schools & Overseas Education
 
Contributor —
 
Date 2012-06-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://ojs.journals.cz/index.php/RJEBI/article/view/232
 
Source Research Journal of Economics, Business and ICT; Vol 6 (2012)
2047-7848
2045-3345
 
Language eng
 
Relation http://ojs.journals.cz/index.php/RJEBI/article/view/232/236
 
Rights Copyright (c) 2012 Mária Bohdalová, Michal Greguš
https://creativecommons.org/licenses/by/3.0/