Portfolio optimization under distribution uncertainty with a feature fusion of conditional skewness GARCH model
Yousaf Ali Khan, Muneeb Ahmad, Muhammad Munir Ahmad
| Year of publication: |
2023
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| Authors: | Khan, Yousaf Ali ; Ahmad, Muneeb ; Ahmad, Muhammad Munir |
| Published in: |
International journal of financial engineering. - Singapore [u.a.] : World Scientific, ISSN 2424-7944, ZDB-ID 2832512-6. - Vol. 10.2023, 2, Art.-No. 2350007, p. 1-19
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| Subject: | conditional skewness | GARCH | Japan stock | mean-variance | Stocks and currency portfolios | Japan | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Theorie | Theory | Statistische Verteilung | Statistical distribution | Börsenkurs | Share price | Risikomaß | Risk measure | Schätzung | Estimation | Volatilität | Volatility | Risiko | Risk | Aktienmarkt | Stock market |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478632350007X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304236