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

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dc.contributor.advisorOuwehand, Pen_ZA
dc.contributor.advisorDemchuk, Aen_ZA
dc.contributor.authorDamaseb, W Ben_ZA
dc.date.accessioned2014-07-31T08:06:59Z
dc.date.available2014-07-31T08:06:59Z
dc.date.issued2005en_ZA
dc.descriptionIncludes bibliographical references.
dc.description.abstractWe 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.identifier.apacitationDamaseb, 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/11427/4877en_ZA
dc.identifier.chicagocitationDamaseb, 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/11427/4877en_ZA
dc.identifier.citationDamaseb, 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.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
dc.identifier.urihttp://hdl.handle.net/11427/4877
dc.identifier.vancouvercitationDamaseb 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/11427/4877en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Mathematics and Applied Mathematicsen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherFinancial Mathematicsen_ZA
dc.titleInvestigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocksen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMScen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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