# COBra: Copula-Based Portfolio Optimization

Conference paper

First Online:

## Abstract

The meta-elliptical *t* copula with noncentral *t* GARCH univariate margins is studied as a model for asset allocation. A method of parameter estimation is deployed that is nearly instantaneous for large dimensions. The expected shortfall of the portfolio distribution is obtained by combining simulation with a parametric approximation for speed enhancement. A simulation-based method for mean-expected shortfall portfolio optimization is developed. An extensive out-of-sample backtest exercise is conducted and comparisons made with common asset allocation techniques.

## Keywords

CCC Expected shortfall GARCH Non-ellipticity Student’s*t*-copula

## JEL classification

C13 C32 G11## Supplementary material

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