portfolio optimization based on modeling of dependence structure and extreme value theory

Investigating the probablility of rare events occurring (events that occur with very low probability) is an important issue in portfolio risk management. extreme value theory of value provides the mathematical basis for modeling these events and calculating the risk criteria associated with them, such as the value at risk. The purpose of this paper is to model the dependency structure andextreme value theory of 10 foreign exchange companies of Tehran Stock Exchange (Persian Gulf Holding, Bandar Abbas Refinery, Mobarakeh Steel, Topico, Ghadir, Parsian Oil and Gas, Melli Mes, Gol Gohar, Mobile Communications, Chadormelo).The results indicated the fact that among the stock returns of the top 10 companies evaluated, it is possible that using extreme value theory of value using vine Copula functions, the results of the forecast were greatly increased. Results of the copula function in six modes: simple Copula (t), time-varying Copula (tDCC), and Gaussian distribution-based time-varying Copula (GDCC). tvSJC) was investigated. In all six cases, the use of the Copula -wine method increased the accuracy in predicting optimal stock returns.