Tweet
Hello all,
Im new to this forum and I need help.
Im writing a diploma research and Im stuck at one point. So the story is as follows:
I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and calculated the expected return and volatility of the portfolio using the known method.
Now I need to connect the two assets with copula functions which I also did. So the returns are now connected with the Clayton and Gumbell copulas. But Im not sure how to calculate the overall risk of the portfolio and what weights to choose.
Could anyone help?
Thanks a lot
Im new to this forum and I need help.
Im writing a diploma research and Im stuck at one point. So the story is as follows:
I plan to create a portfolio of 2(for simplicity) assets with Markowitz portfolio selection model which takes linear dependency between assets into consideration. I did that thing and calculated the expected return and volatility of the portfolio using the known method.
Now I need to connect the two assets with copula functions which I also did. So the returns are now connected with the Clayton and Gumbell copulas. But Im not sure how to calculate the overall risk of the portfolio and what weights to choose.
Could anyone help?
Thanks a lot