Narrow search
Showing 1 - 10 of 708,548
Cover Image
Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan; Bai, Manying; Han, Yingwei - In: Economic modelling 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
Cover Image
Dynamic robust portfolio selection with copulas
Han, Yingwei; Li, Ping; Xia, Yong - In: Finance research letters 21 (2017), pp. 190-200
Persistent link: https://www.econbiz.de/10011807775
Cover Image
Robust portfolio selection based on copula change analysis
Han, Yingwei; Li, Ping; Li, Jie; Wu, Sanmang - In: Emerging markets, finance and trade : EMFT 56 (2020) 15, pp. 3635-3645
Persistent link: https://www.econbiz.de/10012423664
Cover Image
Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Using data from the S&P 500 stocks from 1990 to 2015, we address the uncertainty of distribution of assets' returns in Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining its robust counterpart. We implement a dynamic...
Persistent link: https://www.econbiz.de/10012931953
Cover Image
Essays on portfolio optimization and estimation risk
Kovalenko, Illia - 2021
Persistent link: https://www.econbiz.de/10013502668
Cover Image
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk - In: Finance and stochastics 26 (2022) 4, pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Cover Image
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
Cover Image
Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation
Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20
In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...
Persistent link: https://www.econbiz.de/10012127555
Cover Image
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Cover Image
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