Portfolio management using time-varying vine copula: an application on the G7 equity market indices

Nguyen, Phong Minh1; Liu, Wei-Han2

2022-09-01

10.1080/1351847X.2022.2124119

European Journal of Finance   影响因子和分区

1351-847X

1466-4364

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.

G7 Structural break vine copula hierarchal dependence structure

SSCI

英语

其他

Business & Economics

Business, Finance

WOS:000857401900001

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

Web of Science

1.Federat Univ Australia, Inst Innovat Sci & Sustainabil IISS, Ballarat, Vic, Australia
2.Southern Univ Sci & Technol, Dept Finance, Shenzhen, Peoples R China

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,2022,29(11).

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,29(11).

Nguyen, Phong Minh,et al."Portfolio management using time-varying vine copula: an application on the G7 equity market indices".European Journal of Finance 29.11(2022).