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Title: Portfolio optimization of energy commodity futures returns: Vine copula approach
Authors: Payap Tarkhamtham
Songsak Sriboonchitta
Roengchai Tansuchat
Keywords: Business, Management and Accounting
Economics, Econometrics and Finance
Issue Date: 1-Jan-2017
Abstract: © Serials Publications Pvt.Ltd. The objectives of this study are to construct the optimum energy commodity portfolio investment by using Vine-copula GARCH, and to quantify their risk with Value-at-Risk and expected shortfall. The 1,979 energy commodity futures prices from 7 energy commodity products, namely crude oil, natural gas, gasoline, heating oil, diesel, ethanol, and gasoil, were collected from 1 September 2009 to 31 March 2017, traded in the New York Mercantile Exchange (NYMEX). The empirical results showed that every fitted conditional volatility models are ARMA-EGARCH with student t, and skew student t distribution, and the appropriate vine-copula model for dependence structure among three types of vine copulas is C-vine. The estimated VaR and ES of the portfolio in period t+1at 10%, 5%, and 1% level are-2.33,-3.12,-4.81 and-3.54,-4.40,-3.54 respectively. The optimum portfolio investment result suggests to focuses on the diesel, ethanol, and gas oil investment due to high investment proportion, whereas crude oil and gasoline have little investment proportion.
ISSN: 09727302
Appears in Collections:CMUL: Journal Articles

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