Portfolio optimisation using CVaR and downside risk-metrics
Portfolio optimisation using CVaR and downside risk-metrics
This project investigates investment portfolio optimisation using assessment techniques such as:
- Conditional Value at Risk (CVaR)
- Downside risk-metrics
- Non-linear measures of dependency such as entropy based metrics and R-Vine Copulas
This work commenced with Dr Seyed-Ali Hosseini-Yekani of Shiraz and Tabriz universities in Iran. Dr Hosseini-Yekani was a visiting scholar at ECU for a period of nine months in 2007-2008.
In 2012 Mr M.A. Ashraf joined ECU for a two-month summer internship whilst on-leave from The Indian Institute of Technology, Karaghpur, India, to work on dependency metrics using R-Vine Copulas. It is expected that these should better capture non-symmetric dependencies which will then be incorporated in our portfolio optimisation routines.
Dr Abhay-Kumar Singh has also been working on this topic since joining the Finance, Economics, Markets and Accounting Research Centre (FEMARC) in June 2009.