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Portfolio optimization with GARCH-EVT-Copula-CVaR models
Huang, Chin-Wen; Hsu, Chun-Pin - In: Banking and finance review 7 (2015) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10011443808
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Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891
Persistent link: https://www.econbiz.de/10010437113
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A relative robust approach on expected returns with bounded CVaR for portfolio selection
Benati, Stefano; Sánchez Conde, Eduardo - In: European journal of operational research : EJOR 296 (2022) 1, pp. 332-352
Persistent link: https://www.econbiz.de/10012820171
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Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation
Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...
Persistent link: https://www.econbiz.de/10013273511
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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
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Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas
Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, … - In: The energy journal 43 (2022) 1, pp. 215-239
Persistent link: https://www.econbiz.de/10013187659
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Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
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Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normals
Kocuk, Burak; Cornuéjols, Gérard - In: Omega : the international journal of management science 91 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012151686
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289