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Conditional Value at Risk Asset Allocation A Copula Based Approach


Conditional Value at Risk Asset Allocation A Copula Based Approach

Naeini, Hamed (2013) Conditional Value at Risk Asset Allocation A Copula Based Approach. Masters thesis, Concordia University.

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Naeini_MSc_S2014.pdf - Accepted Version
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The title of this thesis is Conditional Value at Risk Asset Allocation, A Copula Based Method, and it is written by Hamed Naeini. The thesis supervisor is Professor Thomas J. Walker. Using a non-parametric bootstrapping method, we allocate funds to eleven preselected asset classes based on a series of conditional value at risk and variance criteria. Next, we employ copulas to model the data and build our comparison portfolios. We compare the results of the two methods during both bull and bear markets conditions. We find that model-based asset allocation significantly improves the performance of portfolios during financial crises. Under normal market conditions, the two methods result in comparable performance. We conclude that our optimization procedure provides asset allocation strategies that result in portfolios that perform at least as well as portfolios constructed based on the commonly used bootstrapping method and significantly better during periods of financial turmoil.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (Masters)
Authors:Naeini, Hamed
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:3 December 2013
Thesis Supervisor(s):Walker, Thomas
ID Code:978593
Deposited By: HAMED NAEINI
Deposited On:03 Jul 2014 18:11
Last Modified:18 Jan 2018 17:47
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