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Copula-CVaR Performance in Dynamic Portfolio Optimization with Different Rebalancing Periods and Weight Constraints: Evidence from ETF Market
The idea of implicitly representing dependencies between multiple assets in a single mathematical entity is particularly useful in portfolio allocation models. Over the last decade, copulas have consistently gained significance in risk modeling. Our study examines the portfolio optimization problem exploiting data of international Exchange Trade Funds from 2015 to 2018 motivated by changing investor attitudes and switching from mutual funds to Exchange Trade Funds after the recession triggered the boom of the latter. We consolidate multidimensional copula model with ARMA(1,1)-GARCH (1,1) pre-whitening method that takes into account inter-temporal dependencies. In our paper we consider 4 copula models: Gaussian, Student, Clayton, and Gumbel. We measure downside market risk by Conditional Value-at-Risk (CVaR) as alternative to traditional volatility and VaR. We test our investing strategy with respect to the 250 days of calibration window and we test results of dynamic optimization on 3 different rebalancing bases: daily, weekly, and monthly. The out-of-sample performance is evaluated and compared against two benchmarks: mean-variance and equal weights portfolio. Our empirical analysis shows that the Copula-CVaR approach is the best performing portfolio and yields higher returns and Sharpe Ratio than the benchmarks. We show how maximum weight constraint that takes place in many risk-managementsareas as the additional risk-control tool affects the portfolio performance under considered strategies. Additionally, we calculate the portfolio turnover and the break-even transaction cost of all optimization approaches in order to investigate if the profits are economically significant.
Emelyanova O., Восток. Афро-азиатские общества: история и современность 2024 No. 1 P. 153–164
Food security in Japan has been under observation of analytics in both Japan and abroad as it is one of the key national security issues. Leading academic researchers of this issue in Japan include Suzuki N., Takeya T.,Yamamoto R. and Oguchi H. However, the main focus of their analysis is the social aspect. The English ...
Added: July 16, 2026
Aleshin D., Бирюков Е. С., Булатов А. С. et al., Аспект Пресс, 2025.
Учебное пособие подготовлено коллективом российских экономистов-международников, преимущественно из МГИМО. Оно посвящено анализу особенностей незападных экономических систем, а также участия данных стран в международных экономических отношениях.
Структурно учебное пособие состоит из трех разделов и 23 глав. Первый раздел посвящен различным аспектам методологии анализа незападных экономических систем. Приводятся как современные западные концепции классификации экономических систем, так и критические, а также незападные подходы к развитию (в том числе периферийная ...
Added: July 15, 2026
Degterev D. A., Степанова В. С., Международное право и международные организации 2025 № 3 С. 93–109
The issues of monetary cooperation between France and the member states of the West African Monetary Union (WAMU) have received wide coverage in academic literature. However, the phenomenon of the CFA franc as the "last colonial currency" of Africa is considered mainly in a journalistic vein, in a political and historical context, less often – ...
Added: July 15, 2026
Degterev D. A., Кирикова Т. Н., Россия и мир: научный диалог 2025 № 4 С. 37–57
This study focuses on the African policy of the Trump administration during his second term. The authors analyze why the formal framework for strategic planning in Africa proved too restrictive for the new US administration. Particular attention is paid to the consistent decline in international aid as a part of US African strategy. During Trump’s ...
Added: July 15, 2026
Cham: Springer, 2026.
In this ambitious two-volume open access collection of essays, a diverse group of scholars worldwide reflects on the past, present and future of the (comparative) regionalism research program. Volume I provides building blocks for regionalism studies in the coming years by indicating what a pluralistic theoretical and methodological toolbox to study regions could look like, ...
Added: July 15, 2026
Karpova N. S., Союзное государство 2026 Т. 232 № 6, июнь С. 87–89
The article examines the peculiarities of the formation of Belarusian enterprises, the factors of their competitiveness, high export potential, and the culture of marketing work. The author raises the question of ways to strengthen integration processes within the Union State by understanding the competitive advantages of its participants, creating conditions for the growth of mutual ...
Added: July 14, 2026
Economies 2026 Vol. 14 No. 07 P. 277
The increasingly rapid process of de-dollarization in the context of growing geopolitical fragmentation has significantly altered the monetary dynamics of the global economy, thereby posing important questions about economic resilience and sustainable development in the emerging world. This research investigates de-dollarization-related macro-financial conditions and their association with economic resilience in the BRICS+ countries during the ...
Added: July 14, 2026
Абрамова И. О., Аду Я. Н., Анише Т. Э. et al., Институт Африки РАН, 2025.
Данная монография посвящена анализу концепции суверенитета африканских государств как в теоретическом, так и практическом ключе. Рассматриваются экономический, ментальный, языковой и культурный, информационный и образовательный аспекты африканского суверенитета. Исследуется роль региональных интеграционных группировок, а также внешних акторов в контексте суверенизации Африки. Особое внимание уделяется роли РФ в укре- плении суверенитета стран континента.
Монография формирует целостное представление по ...
Added: July 13, 2026
Grebnev L., Вопросы философии 2026 № 7 С. 5–15
In the coming millennium, the transformation of our world has become a matter
of global concern. The first attempts to move in this direction were unsuccessful.
The globalization of economic activity is being replaced by the formation of relatively
autonomous macroregions. But it would be a mistake to assume on this
basis that joint dominion over the entire planet ...
Added: July 11, 2026
Родичев А. И., Zinyakov Y., Вестник Московского университета. Серия 6: Экономика 2026 Т. 61 № 2 С. 340–357
This paper analyzes discrepancies between direct and mirror data in Russia's foreign trade statistics over the period of 2003-2024. Special attention is given to assessing the impact of sanction policies on the level of statistical discrepancies, which reflect trade costs, manipulations in customs and tax reporting, as well as structural changes in logistics and the ...
Added: July 10, 2026
Kuzminov Y., Kruchinskaia E., Вопросы экономики 2026 № 7 С. 5–27
The year 2026 marks the 250th anniversary of Adam Smith’s “An inquiry into the nature and causes of the wealth of nations”, the work that had laid the foundations of economic science. The three factors of production Smith implicitly introduced — labor, land, and capital — no longer operate in their pure form: the digital ...
Added: July 9, 2026
Sizova A., Барнаул: Алтайский государственный педагогический университет, 2026.
В сборник включены научные статьи, посвященные различным аспектам социально-экономической и культурной истории Сибири в контексте внутренней и внешней политики России. Сборник посвящен 70-летию со дня рождения известного ученого, педагога, просветителя и общественного деятеля, доктора исторических наук, профессора Александра Владимировича Старцева (1956–2019).
Сборник предназначен для специалистов в области отечественного исторического сибиреведения, а также всех, кто интересуется историей ...
Added: July 8, 2026
Besstremyannaya G., Кузнецова Ю., Прикладная эконометрика 2026 Т. 82 С. 26–46
This paper studies the technical efficiency of Russian retail companies in 2019 to 2023 using stochastic frontier analysis (SFA) with the Battese and Coelli (1995) model. A translogarithmic production function is employed for estimations. The dependent variable is company revenue, and the production factors are the average number of employees, fixed assets, and assets less ...
Added: July 8, 2026
Dormidontova Y., Central European Business Review 2026 Vol. 15 No. 2 P. 69–90
This study examines the individual factors of artificial intelligence (AI) implementation by small and medium-sized enterprise (SME) owners, based on a survey of 499 respondents in Russia. Drawing on Innovation Diffusion Theory, the Technology Acceptance Model (TAM), and stakeholder-oriented sustainability approach, the analysis shows that SME owners who already use AI for private purposes are ...
Added: July 7, 2026
Kozlov N., Semenova M., Journal of Corporate Finance Research 2026 Vol. 20 No. 2 P. 108–135
This paper introduces a novel approach to identifying and operationalizing political connections of banks. We manually code 2,598 bankers who owned or worked in 115 Russian banks between 2015 and 2021 to classify political connections and uncover their institutional patterns through cluster analysis. We propose a set of variables that capture the origins, relevance, and ...
Added: July 6, 2026
Grebnev L., Вопросы философии 2025 № 6 С. 105–116
The relevance of the topic is related to the fact that after the complete abandonment of real values in the 1970s of the main means of international settlements - the US dollar – there is a growing feeling that money increasingly represents an illusory reality. The article begins with an analysis of the illusions associated ...
Added: July 6, 2026
Volkova N., Кочетков Н. В., Чикер В. А., Психологическая наука и образование 2026 Т. 31 № 3 С. 35–49
Context and relevance. Artificial intelligence is a technology with the potential to fundamentally transform all spheres of human life. Its rapid integration into everyday reality intensifies research dedicated to the psychology of using neural networks. However, the development of empirical research in the Russian scientific field is limited by the lack of validated psychodiagnostic tools that ...
Added: July 5, 2026
Alekseeva O., Nazarova V., AlterEconomics (ранее - Журнал экономической теории) 2026 Т. 23 № 2 С. 329–354
IPO underpricing remains one of the most persistent anomalies in capital markets and is particularly pronounced in emerging markets, where information asymmetry and valuation uncertainty are especially high. This article examines the relationship between board gender composition and the level of IPO underpricing among Chinese companies. The study aims to assess whether a higher share ...
Added: July 4, 2026
Mishin A., Guerrieri L., Kim J., / Series 2026-042 "Finance and Economics Discussion Series (FEDS)". 2026.
Within narrowly defined industries, the most productive firms produce far more than the least productive from the same inputs, and this dispersion widens in downturns. We build a tractable representative-agent model in which financial frictions—adverse selection and moral hazard—make firms sort endogenously into lenders, strategic defaulters, and producers. As credit conditions vary, the resulting misallocation ...
Added: June 28, 2026
Власов С. А., Nevalennyi M., Сафиулин Р. Р. et al., / Банк России. Серия Аналитическая записка "Материалы Банка России". 2026.
В аналитической записке обсуждается долгосрочно устойчивый уровень цены на российскую нефть. Это тот уровень, к которому цена нефти, вероятнее всего, будет тяготеть в долгосрочной перспективе. Потребность в его определении возникает по нескольким причинам. Во-первых, цена на нефть остается одним из ключевых экономических показателей российской экономики, определяющих экспорт, обменный курс рубля, прибыль, доходы и расходы бюджета, ...
Added: June 27, 2026
Глазова А. М., Nevalennyi M., Синяков А. А., / Банк России. Серия Препринты Банка России "Серия докладов об экономических исследованиях". 2025. № 154.
The paper proposes a graphical model of a small open economy. The dynamics of the graphical model is then illustrated using impulse responses from the corresponding formal semi-structural model (QPM model). The authors have several goals in preparing this description of the graphical macroeconomic model. The first goal of the paper is to present an adapted ...
Added: June 27, 2026
Mishin A., Guerrieri L., Canzoneri M. et al., / Series 2026-042 "Finance and Economics Discussion Series (FEDS)". 2026.
Added: June 27, 2026
Bogatyrev R., Sandomirskaia M., / NRU Higher School of Economics. Series EC "Economics". 2026. No. 19(1).
This work develops a tractable model of price competition in fragmented markets where consumers consider both local and distant varieties, with cross-regional purchases subject to stochastic costs. Global competition and full localization emerge as polar cases; hybrid competition is not merely intermediate and exhibits distinctive features such as an endogenous price ceiling and non-monotonic entry ...
Added: June 11, 2026
Kravtsova M., Musaev A. U., Welzel C., / Series "SSRN Working Paper Series". 2026.
Elaborating on Welzel et al.'s "Cool Water Theory," our study zooms into the more limited (albeit still varied) framework conditions of Russia's huge territory. Within Russia's confines, we examine how the combination of moderately cool seasons with steady rain (i.e., Cool Water) affects sub-national areas' contemporary societal progress in two modernization indicators: material prosperity in ...
Added: June 3, 2026