Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model
Rihab Bedoui, Sameh Noiali, Haykel Hamdi
| Year of publication: |
2020
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|---|---|
| Authors: | Bedoui, Rihab ; Noiali, Sameh ; Hamdi, Haykel |
| Published in: |
International journal of entrepreneurship and small business : IJESB. - Genève : Inderscience Enterprises, ISSN 1741-8054, ZDB-ID 2193755-2. - Vol. 39.2020, 1/2, p. 121-148
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| Subject: | hedge funds | vine copula | GARCH | extreme value theory | EVT | conditional value-at-risk | CVaR | portfolio optimisation | Hedgefonds | Hedge fund | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJESB.2020.104247 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176750