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  1. 1 Operations Research and Decisions

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  1. 1 GURGUL H.

  2. 1 MACHNO A.

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  1. 1 2014

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The optimal portfolio under VaR and ES

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GURGUL H., MACHNO A.
Operations Research and Decisions
|
2014
|
vol. 24
|
issue 2
59-79
EN
An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime switching copula based model including asymmetric and fat-tailed copulas. All the indices are left-skewed and fat-tailed. Large indices are more skewed and less fail-tailed. The findings suggest that size of a market has an influence on its properties. A particular behaviour of the Turkish market suggests the importance of geographical factors. It is also suggested that the maturity of a market is insignificant in the analysis. Another important conclusion drawn from our empirical investigation is that VaR is a less exact risk measure than ES. However, the dynamics of the temporal and statistical properties of both measures are similar
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