I want to accomplish the task of creating an optimal portfolio of stocks, the yield between which is modeled using kopulas.
And I have data: return of 4 stocks:
s1 <- read.csv('s1.csv',header=F)$V2 s2 <- read.csv('s2.csv',header=F)$V2 s3 <- read.csv('s3.csv',header=F)$V2 s4 <- read.csv('s4.csv',header=F)$V2
Then I tried to fit t-copula and plot the density
t.cop <- tCopula(dim=4) set.seed(500) m <- pobs(as.matrix(cbind(s1,s2,s3,s4))) fit <- fitCopula(t.cop,m,method='ml') coef(fit) rho <- coef(fit) df <- coef(fit) persp(tCopula(dim=2,rho,df=df),dCopula)
But I cant understand how to build other types of copulas(vine copulas for example). And how can I find an optimal portfolio?