| Abstract: |
| In this paper, we construct a dynamic portfolio selection model based on dynamic copulas. We first determine the existence and the number of changes in the dependence structure using change point analysis method. Then the whole sample data is split into 10 periods according to the change points. For each period, we solve robust portfolio optimiztion problem and compute the weights. In the empirical part we choose four representative assets from Chinese market to construct a portfolio. The results show that the method performs the best in out-of-sample tests when considering the dynamic dependence between assets and the uncertainty in the estimated model |
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