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Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Mathematics and Applied Mathematics
2014
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| _version_ | 1867613244606119937 |
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| access_status_str | Open Access |
| author | Damaseb, W B |
| author2 | Ouwehand, P |
| author_browse | Damaseb, W B Ouwehand, P |
| author_facet | Ouwehand, P Damaseb, W B |
| author_sort | Damaseb, W B |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/4877 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:04.194Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Mathematics and Applied Mathematics |
| publisherStr | Department of Mathematics and Applied Mathematics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/4877 Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks Damaseb, W B Ouwehand, P Demchuk, A Financial Mathematics Includes bibliographical references. 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. 2014-07-31T08:06:59Z 2014-07-31T08:06:59Z 2005 Master Thesis Masters MSc http://hdl.handle.net/11427/4877 eng application/pdf Department of Mathematics and Applied Mathematics Faculty of Science University of Cape Town |
| spellingShingle | Financial Mathematics Damaseb, W B Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| thesis_degree_str | Master's |
| title | Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| title_full | Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| title_fullStr | Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| title_full_unstemmed | Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| title_short | Investigation on the efficient frontier based on CVaR under copula dependence structure with applications to South African JSE stocks |
| title_sort | investigation on the efficient frontier based on cvar under copula dependence structure with applications to south african jse stocks |
| topic | Financial Mathematics |
| url | http://hdl.handle.net/11427/4877 |
| work_keys_str_mv | AT damasebwb investigationontheefficientfrontierbasedoncvarundercopuladependencestructurewithapplicationstosouthafricanjsestocks |