Subject The article considers GAS-copulas that take into account changes in the structure of asset relationships over time, enabling to build a dynamic investment portfolio capable to adapt to changing conditions. Objectives The study aims to develop an efficient procedure to optimize the share portfolio in theRussian stock market, using modern risk assessment tools and GAS-copulas. Methods To characterize the relationship of stock and the portfolio risk, I use a reverse Gumbel GAS-copula that allows paying more attention to the relationship of negative returns. To obtain the limiting distributions of return on assets, I apply the ARMA-GJR model, the parameters of which are selected using the BIC criterion. The optimized portfolios with the use of GAS-copulas are compared by several performance indicators from the point of view of risk and return with the market benchmarks. Results I consider ten the most liquid shares of the Russian stock market. The paper proposes optimization procedures for several formats of investment portfolios, i.e. the 'long only' portfolio, the 'long only' with restrictions per the share of one asset, and the 'long-short' portfolio. It also considers several periods of portfolio revision, namely, a month, a quarter, six months and a year. The offered optimization procedures enable to obtain results that are above market. Conclusions The proposed optimization procedure can be applied in the field of asset management and risk management; it may be useful for individual investors as an additional tool for investing in the stock market.
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