Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Madhusudan Karmakar and Samit Paul
| Year of publication: |
2023
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|---|---|
| Authors: | Karmakar, Madhusudan ; Paul, Samit |
| Published in: |
The energy journal. - Boston, Mass. [u.a.] : Oelgeschlager, Gunn & Hain, ISSN 0195-6574, ZDB-ID 864319-2. - Vol. 44.2023, 2, p. 139-179
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| Subject: | VaR | CVaR | EVT | Copula | C-Vine | D-Vine | Dynamic | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Theorie | Theory | Ausreißer | Outliers | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014249083