Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Year of publication: |
2023
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Authors: | Karmakar, Madhusudan ; Paul, Samit |
Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 44.2023, 2, p. 139-179
|
Subject: | VaR | CVaR | EVT | Copula | C-Vine | D-Vine | Dynamic | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Theorie | Theory | Kapitaleinkommen | Capital income |
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