Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach

【Author】 Al Janabi, Mazin A. M.; Ferrer, Roman; Shahzad, Syed Jawad Hussain

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】This paper develops a novel approach to assess liquidity-adjusted Value-at-Risk (LVaR) optimization of multi-asset portfolios based on vine copulas and LVaR models. This framework is applied to stock markets of the G-7 countries, gold, commodities and Bitcoin. The results show that our approach is superior to the classical mean-variance Markowitz portfolio technique in terms of the optimal portfolio selection under a number of realistic operational and budget constraints. We find that both Bitcoin and gold improves the risk-return performance of the G-7 stock portfolio. However, Bitcoin (gold) performs better under a scenario of only long-positions (when short-selling is allowed). (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Portfolio optimization; Multivariate dependence; Stock markets; Gold; Bitcoin

【发表时间】2019 15-Dec

【收录时间】2022-01-02

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