Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Maziar Sahamkhadam, Andreas Stephan
| Year of publication: |
2023
|
|---|---|
| Authors: | Sahamkhadam, Maziar ; Stephan, Andreas |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 42.2023, 8, p. 2139-2166
|
| Subject: | asymmetric tail dependence | COVID-19 crisis | financial crisis | portfolio optimization | value-at-risk back-testing | vine copula | Portfolio-Management | Portfolio selection | Finanzkrise | Financial crisis | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Coronavirus | Welt | World | Internationaler Finanzmarkt | International financial market | Risikomanagement | Risk management |
freely available