Cryptocurrency portfolio optimization : utilizing a GARCH-copula model within the Markowitz framework
Vahidin Jeleskovic, Claudio Latini, Zahid I. Younas, Mamdouh A. S. Al-Faryan
| Year of publication: |
2024
|
|---|---|
| Authors: | Jeleskovic, Vahidin ; Latini, Claudio ; Younas, Zahid Irshad ; Al-Faryan, Mamdouh A. S. |
| Subject: | Copula | cryptocurrencies | GARCH | Markowitz optimization | Vine Copula | Portfolio-Management | Portfolio selection | Virtuelle Währung | Virtual currency | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/jcaf.22721 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015152922