Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen and Toan Luu Duc Huynh
| Year of publication: |
2019
|
|---|---|
| Authors: | Sang Phu Nguyen ; Toan Luu Duc Huynh |
| Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 3.2019, 3, p. 562-585
|
| Subject: | GARCH models | GJR | EVT | Copulas models | CVaR | portfolio optimization | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | ASEAN-Staaten | ASEAN countries | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3934/QFE.2019.3.562 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012176618