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

摘要

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.