Portfolio optimization with GARCH-EVT-Copula-CVaR models
Chin-Wen Huang, Chun-Pin Hsu
| Year of publication: |
June 2015
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|---|---|
| Authors: | Huang, Chin-Wen ; Hsu, Chun-Pin |
| Published in: |
Banking and finance review. - [Erscheinungsort nicht ermittelbar] : lulu.com], ISSN 1947-7945, ZDB-ID 2557090-0. - Vol. 7.2015, 1, p. 19-31
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| Subject: | GARCH-EVT | Portfolio Performance | Conditional Value-at-Risk | Copula | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011443808