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Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach

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Cited by:

  1. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
  2. Jacobo Ayensa-Jiménez & Marina Pérez-Aliacar & Teodora Randelovic & José Antonio Sanz-Herrera & Mohamed H. Doweidar & Manuel Doblaré, 2020. "Analysis of the Parametric Correlation in Mathematical Modeling of In Vitro Glioblastoma Evolution Using Copulas," Mathematics, MDPI, vol. 9(1), pages 1-22, December.
  3. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
  4. Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Filipa Da Silva Fernandes, 2019. "Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1443-1463, October.
  5. Gaete, Michael & Herrera, Rodrigo, 2023. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," Journal of Commodity Markets, Elsevier, vol. 32(C).
  6. José Luis Miralles‐Quirós & María Mar Miralles‐Quirós & José Manuel Nogueira, 2019. "Diversification benefits of using exchange‐traded funds in compliance to the sustainable development goals," Business Strategy and the Environment, Wiley Blackwell, vol. 28(1), pages 244-255, January.
  7. Stelios Bekiros & Shawkat Hammoudeh & Rania Jammazi & Duc Khuong Nguyen, 2018. "Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis: a dynamic copula approach," Applied Economics, Taylor & Francis Journals, vol. 50(47), pages 5031-5049, October.
  8. Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
  9. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  10. Meng, Juan & Nie, He & Mo, Bin & Jiang, Yonghong, 2020. "Risk spillover effects from global crude oil market to China’s commodity sectors," Energy, Elsevier, vol. 202(C).
  11. Duc Hong Vo & Ngoc Phu Tran & Tam Nguyen-Thanh Duong & Michael McAleer, 2019. "Risk analysis of energy in Vietnam," Documentos de Trabajo del ICAE 2019-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  12. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
  13. Bin Mo & Juan Meng & Guannan Wang, 2023. "Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management," Energies, MDPI, vol. 16(5), pages 1-17, February.
  14. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
  15. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2020. "Persistence in the Realized Betas: Some Evidence for the Spanish Stock Market," CESifo Working Paper Series 8171, CESifo.
  16. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2015. "Is volatility clustering of asset returns asymmetric?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 62-76.
  17. Al Rahahleh, Naseem & Bhatti, M. Ishaq, 2017. "Co-movement measure of information transmission on international equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 119-131.
  18. Maghyereh, Aktham & Abdoh, Hussein, 2020. "The tail dependence structure between investor sentiment and commodity markets," Resources Policy, Elsevier, vol. 68(C).
  19. Berger, Theo, 2016. "On the isolated impact of copulas on risk measurement: Asimulation study," Economic Modelling, Elsevier, vol. 58(C), pages 475-481.
  20. repec:ipg:wpaper:2014-094 is not listed on IDEAS
  21. Osman, Myriam Ben & Galariotis, Emilios & Guesmi, Khaled & Hamdi, Haykel & Naoui, Kamel, 2023. "Diversification in financial and crypto markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
  22. Miralles-Quirós, José Luis & Miralles-Quirós, María Mar, 2019. "Are alternative energies a real alternative for investors?," Energy Economics, Elsevier, vol. 78(C), pages 535-545.
  23. Robert J. Powell & Duc H. Vo & Thach N. Pham, 2018. "Economic cycles and downside commodities risk," Applied Economics Letters, Taylor & Francis Journals, vol. 25(4), pages 258-263, February.
  24. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
  25. Pushpa Narayan Rathie & Luan Carlos de Sena Monteiro Ozelim & Bernardo Borba de Andrade, 2021. "Portfolio Management of Copula-Dependent Assets Based on P ( Y < X ) Reliability Models: Revisiting Frank Copula and Dagum Distributions," Stats, MDPI, vol. 4(4), pages 1-24, December.
  26. H. Fink & S. Geissel & J. Herbinger & F. T. Seifried, 2019. "Portfolio Optimization with Optimal Expected Utility Risk Measures," Working Paper Series 2019-07, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  27. Jammazi, Rania & Lahiani, Amine & Nguyen, Duc Khuong, 2015. "A wavelet-based nonlinear ARDL model for assessing the exchange rate pass-through to crude oil prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 173-187.
  28. Desislava Chetalova & Marcel Wollschlager & Rudi Schafer, 2015. "Dependence structure of market states," Papers 1503.09004, arXiv.org, revised Jul 2015.
  29. Mateane, Lebogang, 2023. "Risk preferences, global market conditions and foreign debt: Is there any role for the currency composition of FX reserves?," Research in Economics, Elsevier, vol. 77(3), pages 402-418.
  30. Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
  31. Berger, Theo, 2015. "A wavelet based approach to measure and manage contagion at different time scales," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 338-350.
  32. Jiang, Yonghong & Nie, He & Monginsidi, Joe Yohanes, 2017. "Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests," Economic Modelling, Elsevier, vol. 64(C), pages 384-398.
  33. Yang, Lu & Yang, Lei & Hamori, Shigeyuki, 2018. "Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 19-34.
  34. Diks, Cees & Fang, Hao, 2020. "Comparing density forecasts in a risk management context," International Journal of Forecasting, Elsevier, vol. 36(2), pages 531-551.
  35. Khaledi-Alamdari, Mohammad & Majnooni-Heris, Abolfazl & Fakheri-Fard, Ahmad & Russo, Ana, 2023. "Probabilistic climate risk assessment in rainfed wheat yield: Copula approach using water requirement satisfaction index," Agricultural Water Management, Elsevier, vol. 289(C).
  36. Jose Arreola Hernandez & Sang Hoon Kang & Seong‐Min Yoon, 2022. "Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 678-696, January.
  37. S. Geissel & H. Graf & J. Herbinger & F. T. Seifried, 2022. "Portfolio optimization with optimal expected utility risk measures," Annals of Operations Research, Springer, vol. 309(1), pages 59-77, February.
  38. Bilbao-Terol, Amelia & Arenas-Parra, Mar & Cañal-Fernández, Verónica, 2016. "A model based on Copula Theory for sustainable and social responsible investments," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 19(1), pages 55-76.
  39. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
  40. Aida Karmous & Heni Boubaker & Lotfi Belkacem, 2021. "Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 461-482, August.
  41. Aloui, Chaker & Jammazi, Rania, 2015. "Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 436(C), pages 62-86.
  42. Toan Luu Duc Huynh, 2019. "Spillover Risks on Cryptocurrency Markets: A Look from VAR-SVAR Granger Causality and Student’s-t Copulas," JRFM, MDPI, vol. 12(2), pages 1-19, April.
  43. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
  44. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
  45. Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
  46. Jammazi, Rania & Reboredo, Juan C., 2016. "Dependence and risk management in oil and stock markets. A wavelet-copula analysis," Energy, Elsevier, vol. 107(C), pages 866-888.
  47. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
  48. Heni Boubaker & Nadia Sghaier, 2015. "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
  49. R. P. C. Leal & B. V. M. Mendes, 2013. "Assessing the effect of tail dependence in portfolio allocations," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1249-1256, August.
  50. Nader Trabelsi & Aviral Kumar Tiwari, 2019. "Market-Risk Optimization among the Developed and Emerging Markets with CVaR Measure and Copula Simulation," Risks, MDPI, vol. 7(3), pages 1-20, July.
  51. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
  52. Luo, Ming & Wu, Shaomin, 2018. "A value-at-risk approach to optimisation of warranty policy," European Journal of Operational Research, Elsevier, vol. 267(2), pages 513-522.
  53. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
  54. Mo, Guoli & Zhang, Weiguo & Tan, Chunzhi & Liu, Xing, 2022. "Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  55. Prayer M. Rikhotso & Beatrice D. Simo-Kengne, 2022. "Dependence Structures between Sovereign Credit Default Swaps and Global Risk Factors in BRICS Countries," JRFM, MDPI, vol. 15(3), pages 1-22, February.
  56. Do, A. & Powell, R. & Yong, J. & Singh, A., 2020. "Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  57. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme," Working Papers 2014-94, Department of Research, Ipag Business School.
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