Investment Portfolio Optimization With Copulas

Student: Mairaslova Viktoriia

Educational Programme: Economics and Statistics (Bachelor)

Year of Graduation: 2018

In this paper, we compare Markowitz’s portfolio theory and a copula approach to portfolio optimization. Portfolios of stock market indices are simulated during and post the global financial crisis of 2007 – 2008. We also study how the dependence structures between the stock market indices evolves over time.

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