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Institutional investors' involuntary trading behaviours, commonality in liquidity change and stock price fragility

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Multivariate Dependence Risk and Portfolio Selection : An Application to International Stock Portfolio

Simo-Kengne, Beatrice - 2016

This study analyses the risk dependence of international stock portfolio based on three risk metrics, namely, the portfolio expected return, CVaR, and the Sharp ratio. The portfolio is optimised under both multivariate GARCH models (DCC and GO-CARCH) and the copula approaches (Student t...

Persistent link: https://www.econbiz.de/10012980838