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Portfolio selection using Archimedean copula methods

M.Comm. / This study analyzes the effect of the subprime crisis on portfolio allocation from the perspective of dependence structure. Empirical evidence has proved that the multivariate normal distribution is inadequate to model portfolio asset return distribution - firstly because the empirical marginal distributions of asset returns are skewed and fat tailed; and secondly because it does not consider the possibility of extreme joint co-movement of asset returns (Fama and French, 1993; Richardson and Smith, 1993; Géczy, 1998; Longin and Solnik, 2001; Mashal and Zeevi, 2002). This study employs Archimedean copulas to capture both the dependence structure and the asymmetry of asset returns in the tails of the empirical distributions.

Identiferoai:union.ndltd.org:netd.ac.za/oai:union.ndltd.org:uj/uj:2511
Date06 June 2012
Source SetsSouth African National ETD Portal
Detected LanguageEnglish
TypeThesis

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