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Portfolio Theory Dissertations

C/F/1046. Dissertation. Dynamic Correlation and Conditional Tail Dependence in Portfolio Selection: Are There Economic Gains?

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8450

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Excel Data

DATE:

2011

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89.99 GBP

This dissertation focuses on dynamic conditional correlation and tail dependency and aims to assess whether they can provide economic gains to investors when accounted for during asset allocation. The main aims of the study are to estimate dynamic conditional correlation for the assets in the portfolio of six equity indexes, to construct three portfolio using classic mean-variance strategy, 1/N naïve strategy and copula theory, and to find out whether the portfolio constructed with the strategy based on copula theory is better in terms of return, standard deviation, value at risk, expected shortfall and utility gains. The review of literature examines portfolio selection and copula theory, and the methodology is provided in detail. The study examines all of the results from the data collection methods in detail, and conclusions are made regarding the limitations of the study and future recommendations.

KEYWORDS: Dissertation, Dynamic Correlation, Conditional Tail Dependence, classic mean-variance strategy, 1/N naïve strategy, copula theory, return, standard deviation, value at risk, expected shortfall, utility gains!,