Portfolio optimization with GARCH-EVT-Copula-CVaR models
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
|
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 |
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