Portfolio optimization of dynamic Copula models for dependent financial data using change point approach

In this paper, the portfolio optimization based on CV aR is performed using the dynamic copula model for financial data. Determining thebest model of dependency between financial data has an important role intaking appropriate investment decisions. Due to the financial data is alwaysağected by the *uctuations of the economic factors, the dynamic model washandled. On the other hand change point detection is also important for investment...