Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Ashis Kumar Pradhan, Ishan Mittal and Aviral Kumar Tiwari
| Year of publication: |
2021
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|---|---|
| Authors: | Pradhan, Ashis Kumar ; Mittal, Ishan ; Tiwari, Aviral Kumar |
| Published in: |
Macroeconomics and finance in emerging market economies. - London [u.a.] : Routledge, Taylor & Francis Group, ISSN 1752-0851, ZDB-ID 2415178-6. - Vol. 14.2021, 3, p. 291-307
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| Subject: | Bitcoin | conditional value-at-risk | Copula theory | cryptocurrencies | portfolio optimization | risk management | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Virtuelle Währung | Virtual currency | Risikomanagement | Risk management | Simulation | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/17520843.2021.1909828 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012649582