Year of Graduation
Modeling Risk and Return of Portfolio of BRICS Stock Market Indexes by Copula Function
This work explores the problem of using the device copula functions in modeling risk and return of portfolio. Copula function a popular tool of risk managers of large banks, insurance companies, and are most often used to assess the credit, insurance, foreign exchange, interest rate risks, also it is used for the detection of structural changes, price risk hedging solutions tasks. The applicability of copula functions in portfolio theory is assessed. Also the optimal copula model was selected, based on the parameters of which the curve of Value at Risk has been built, Expected Shortfall value has been determined. Investment portfolio management strategies of the stock indices of the BRICS countries on the basis of parameters copula model has been presented. Algorithm of adjusting the optimal weights has been detected. The empirical analysis was carried out in a software environment R, for the period from November 2009 to November 2015 based on Bloomberg data. The results of the comparative analysis of investment strategies are included.