NDLI: Copula-based model for portfolio of sector indices

Content Provider	IEEE Xplore Digital Library
Author	Yang Wen-ning Long Wen Cao Ding-mu
Copyright Year	2013
Description	Author affiliation: Grad. Univ. of Chinese Acad. of Sci., Beijing, China (Yang Wen-ning; Long Wen; Cao Ding-mu)
Abstract	Investigating sector indices contributes a lot to making decision of assets allocation in different sectors. In this paper, we choose CSI300HC index and CSI300CS index, whose Sharpe ratios rank the first two among the CSI 300 ten sector indices, as assets of a portfolio. ARMA-GJR-GARCH model, with Student-t innovation, is used to specify indices return series; while copula function, combined with nonparametric kernel estimation method, is used to describe dependency between the two indices returns. Moreover, employing Monte Carlo simulation method, we estimate the weights of the two indices in the optimal portfolio, which gives the minimum Value at Risk (VaR) over the next holding period at a given confidence level. The conclusion indicates that the proportion of CSI300HC index in the portfolio is significant, which is consistent with the fact that the health care sector develops favorably in recent years.
Starting Page	1720
Ending Page	1727
File Size	365586
Page Count	8
File Format	PDF
ISBN	9781479904730
ISSN	21551855
e-ISBN	9781479904747
DOI	10.1109/ICMSE.2013.6586498
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2013-07-17
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Technological innovation Correlation assets allocation Estimation VaR copula Sharpe ratios Indexes Reactive power portfolio Portfolios sector indices Distribution functions
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
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8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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