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Portfolio Selection with Stock, Gold and Bond in Thailand Under Vine Copulas Functions

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Econometrics for Financial Applications (ECONVN 2018)

Part of the book series: Studies in Computational Intelligence ((SCI,volume 760))

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Abstract

The paper aims to measure the risk and find the optimal weights of portfolio containing three instruments: Stock Exchange of Thailand, Thai Baht gold, and Treasury 10-year bond yield. The study employs the C-D vine copulas approach to construct the dependency of each pair instruments and uses the Monte Carlo simulation technique to generate the simulated data to compute Value at Risk (VaR) and Expected Shortfall (ES). Our results show that there exists a weak significant dependency between Stock Exchange of Thailand index and Thai Baht gold and dependency between Treasury 10-year bond yield and Thai Baht gold. Moreover, we find that the desired portfolio allocation is 49.8% of SET, 18.8% of Bond, and 31.4% of Gold where risk and return of the portfolio are 2.7% and 0.05%, respectively.

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Acknowledgements

The authors are grateful to Puay Ungphakorn Centre of Excellence in Econometrics, Faculty of Economics, Chiang Mai University for the financial support.

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Authors and Affiliations

  1. Faculty of Economics, Centre of Excellence in Econometrics, Chiang Mai University, Chiang Mai, Thailand

    Pathairat Pastpipatkul, Woraphon Yamaka & Songsak Sriboonchitta

Authors
  1. Pathairat Pastpipatkul
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  2. Woraphon Yamaka
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  3. Songsak Sriboonchitta
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Corresponding author

Correspondence to Woraphon Yamaka .

Editor information

Editors and Affiliations

  1. Banking University HCMC, Ho Chi Minh City, Vietnam

    Ly H. Anh

  2. Banking University HCMC, Ho Chi Minh City, Vietnam

    Le Si Dong

  3. Computer Science Department, University of Texas at El Paso, El Paso, Texas, USA

    Vladik Kreinovich

  4. Banking University HCMC, Ho Chi Minh City, Vietnam

    Nguyen Ngoc Thach

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Pastpipatkul, P., Yamaka, W., Sriboonchitta, S. (2018). Portfolio Selection with Stock, Gold and Bond in Thailand Under Vine Copulas Functions. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds) Econometrics for Financial Applications. ECONVN 2018. Studies in Computational Intelligence, vol 760. Springer, Cham. https://doi.org/10.1007/978-3-319-73150-6_55

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  • DOI: https://doi.org/10.1007/978-3-319-73150-6_55

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-73149-0

  • Online ISBN: 978-3-319-73150-6

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