Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Xue Deng, Ying Liang
| Year of publication: |
2023
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|---|---|
| Authors: | Deng, Xue ; Liang, Ying |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 61.2023, 1, p. 267-294
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| Subject: | Copula | Extreme value theory (EVT) | Kernel regression estimation | Robust portfolio | TGARCH | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Ausreißer | Outliers |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10207-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014228426