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- Publisher
- Wiley
- Copyright
- Accounting and Finance © 2018 AFAANZ
- ISSN
- 0810-5391
- eISSN
- 1467-629X
- DOI
- 10.1111/acfi.12274
- Publisher site
- See Article on Publisher Site
Abstract
Asymmetric dependence in equities markets has been shown to have detrimental effects on portfolio diversification as assets within the portfolio exhibit greater correlations during market downturns compared to market upturns. By applying the Clayton canonical vine copula (CVC) to model asymmetric dependence, we produce a measure of systemic risk across a portfolio of assets. In addition, we use the Clayton CVC to produce estimates of expected returns in an application to higher‐moment portfolio optimisation and find evidence of an improvement in performance across a range of risk‐adjusted return measures and the indices of acceptability.
Journal
Accounting & Finance – Wiley
Published: Nov 1, 2018
Keywords: ; ; ; ;