PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

KIZILOK KARA, EMEL; AÇIK KEMALOĞLU, SİBEL

PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

Emel KIZILOK KARA, (Kırıkkale Üniversitesi, Fen Edebiyat Fakültesi, Aktüerya Bilimleri Bölümü, Kırıkkale, Türkiye)

Sibel AÇIK KEMALOĞLU (Ankara Üniversitesi, Fen Fakültesi, İstatistik Bölümü, Ankara, Türkiye)

Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics

5 0

Yıl: 2016 Cilt: 65 Sayı: 2 Sayfa Aralığı: 175 - 188 Metin Dili: İngilizce İndeks Tarihi: 29-07-2022

PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH

Öz:

In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for ...nancial data. Determining thebest model of dependency between ...nancial data has an important role intaking appropriate investment decisions. Due to the ...nancial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment decisions. So this study presents an application of dynamic copulamodel with change point approach. We take the currency data (USD andEUR) from Turkish Central Bank to construct a portfolio. This study consists of two stages. In the ...rst stage, the marginal distributions and copulamodels of currency data are de...ned for full sample, and the portfolio optimization based on CV aR is performed. In the second stage, the change periodsof copula models are determined using binary segmentation method, and theportfolio optimization based on CV aR is performed for each period.

Anahtar Kelime:

Konular: Matematik İstatistik ve Olasılık

Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık

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APA	KIZILOK KARA E, AÇIK KEMALOĞLU S (2016). PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. , 175 - 188.
Chicago	KIZILOK KARA EMEL,AÇIK KEMALOĞLU SİBEL PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. (2016): 175 - 188.
MLA	KIZILOK KARA EMEL,AÇIK KEMALOĞLU SİBEL PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. , 2016, ss.175 - 188.
AMA	KIZILOK KARA E,AÇIK KEMALOĞLU S PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. . 2016; 175 - 188.
Vancouver	KIZILOK KARA E,AÇIK KEMALOĞLU S PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. . 2016; 175 - 188.
IEEE	KIZILOK KARA E,AÇIK KEMALOĞLU S "PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH." , ss.175 - 188, 2016.
ISNAD	KIZILOK KARA, EMEL - AÇIK KEMALOĞLU, SİBEL. "PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH". (2016), 175-188.

APA	KIZILOK KARA E, AÇIK KEMALOĞLU S (2016). PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics, 65(2), 175 - 188.
Chicago	KIZILOK KARA EMEL,AÇIK KEMALOĞLU SİBEL PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics 65, no.2 (2016): 175 - 188.
MLA	KIZILOK KARA EMEL,AÇIK KEMALOĞLU SİBEL PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics, vol.65, no.2, 2016, ss.175 - 188.
AMA	KIZILOK KARA E,AÇIK KEMALOĞLU S PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics. 2016; 65(2): 175 - 188.
Vancouver	KIZILOK KARA E,AÇIK KEMALOĞLU S PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH. Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics. 2016; 65(2): 175 - 188.
IEEE	KIZILOK KARA E,AÇIK KEMALOĞLU S "PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH." Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics, 65, ss.175 - 188, 2016.
ISNAD	KIZILOK KARA, EMEL - AÇIK KEMALOĞLU, SİBEL. "PORTFOLIO OPTIMIZATION OF DYNAMIC COPULA MODELS FOR DEPENDENT FINANCIAL DATA USING CHANGE POINT APPROACH". Communications Faculty of Sciences University of Ankara Series A1: Mathematics and Statistics 65/2 (2016), 175-188.