Paper Title
Portfolio Allocation with Taildependence Constraints

Abstract
This paper introduces tail dependence coefficient, which measures the comovement of a pair of random variables. In this case, random variables imply market and portfolio return. And the comovement of this pair measure probability that a portfolio return will be negative when the market. Moreover, this paper purposes specific model of market and portfolio return and model of dependency between portfolio and market to allocate a portfolio with tail dependence as a constraint. In addition, this paper would compare first the proportion of allocation between mean-variance and portfolio with tail dependence is? And second realized return of portfolio performance to show the best strategy. Keywords - Correlation, Portfolio allocation, Student’s t copula,Tail dependence