-dimensional portfolios. To describe the dependence structure, we employ the factor copula model, driven by a GAS (Generalized Autoregressive … copula-mean-ES model. Our empirical findings, based on an analysis of 24 industries in China, suggest that the dynamic … heterogeneous factor copula model is the most suitable for describing portfolio risk. Furthermore, the mean-ES model ensures the …

the gap in the literature on the out-of-sample portfolio allocation performance of copula functions where there are still …This research aims to investigate the asset allocation performance of three different optimization methods commonly … copulas. From the fitted Mixed and Elliptical copula functions, daily returns of the equities are simulated which are employed …