Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/55587
Title: Efficient frontier of global healthcare portfolios using high dimensions of copula models
Authors: Nantiworn Thianpaen
Somsak Chanaim
Jirakom Sirisrisakulchai
Songsak Sriboonchitta
Keywords: Computer Science
Issue Date: 1-Jan-2016
Abstract: © Springer International Publishing Switzerland 2016. This paper aims to find the optimal Global Healthcare Portfolios at different levels of risks and returns to obtain the efficient frontier. The risks are measured by expected shortfall. The dependency of selected stocks in portfolios cannot be ignored. The high-dimension copula-models are used to capture the dependency parameters of the selected stocks. Five largest market capitalization stocks in the global healthcare sector are selected for this analysis. According to the Akaike Information Criterion (AIC), the empirical results show that t-copula is better fitted between the t- and the Gaussian copulas. Based on the t-copula, the result of this study which is the efficient frontier of the global healthcare portfolios is finally shown in Table 4 for related decision makers.
URI: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952700783&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55587
ISSN: 1860949X
Appears in Collections:CMUL: Journal Articles

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