Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks

 

Show simple item record

dc.contributor.advisor Ouwehand, P en_ZA
dc.contributor.advisor Demchuk, A en_ZA
dc.contributor.author Damaseb, W B en_ZA
dc.date.accessioned 2014-07-31T08:06:59Z
dc.date.available 2014-07-31T08:06:59Z
dc.date.issued 2005 en_ZA
dc.identifier.citation Damaseb, W. 2005. Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks. University of Cape Town. en_ZA
dc.identifier.uri http://hdl.handle.net/11427/4877
dc.description Includes bibliographical references.
dc.description.abstract We study the feasihility of using a coherent monetary risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore does not possess one of the four properties that all coherent risk measures must satisfy. Using copula to describe the dependence structure between the instruments in our portfolio, we implement and backtest a CVaR optimization algorithm and compare the backtested results to those obtained using parametric and non-parametric/Monte Carlo VaR. Finally we optimise the portfolio of stocks and generate an efficient frontier specifying CVaR as the risk measure instead of the portfolio variance traditionally used in Markowitz and CAPM models. en_ZA
dc.language.iso eng en_ZA
dc.subject.other Financial Mathematics en_ZA
dc.title Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks en_ZA
dc.type Master Thesis
uct.type.publication Research en_ZA
uct.type.resource Thesis en_ZA
dc.publisher.institution University of Cape Town
dc.publisher.faculty Faculty of Science en_ZA
dc.publisher.department Department of Mathematics and Applied Mathematics en_ZA
dc.type.qualificationlevel Masters
dc.type.qualificationname MSc en_ZA
uct.type.filetype Text
uct.type.filetype Image
dc.identifier.apacitation Damaseb, W. B. (2005). <i>Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics. Retrieved from http://hdl.handle.net/11427/4877 en_ZA
dc.identifier.chicagocitation Damaseb, W B. <i>"Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005. http://hdl.handle.net/11427/4877 en_ZA
dc.identifier.vancouvercitation Damaseb WB. Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Mathematics and Applied Mathematics, 2005 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/4877 en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Damaseb, W B AB - We study the feasihility of using a coherent monetary risk measure, Conditional Value at Risk (CVaR) also known as Expected Shortfall (ES), to optimise a portfolio of South African stocks. Value at Risk (VaR) is not a sub-additive risk measure and therefore does not possess one of the four properties that all coherent risk measures must satisfy. Using copula to describe the dependence structure between the instruments in our portfolio, we implement and backtest a CVaR optimization algorithm and compare the backtested results to those obtained using parametric and non-parametric/Monte Carlo VaR. Finally we optimise the portfolio of stocks and generate an efficient frontier specifying CVaR as the risk measure instead of the portfolio variance traditionally used in Markowitz and CAPM models. DA - 2005 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2005 T1 - Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks TI - Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks UR - http://hdl.handle.net/11427/4877 ER - en_ZA


Files in this item

This item appears in the following Collection(s)

Show simple item record