Conditional Heteroscedasticity (GARCH) volatility model. The optimization was performed by employing a Nondominated Sorting … portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework … (APF), we propose a novel mean-VaR optimization method where VaR is estimated using a univariate Generalized AutoRegressive …

derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …

We propose a novel method of Mean-Capital Requirement portfolio optimization. The optimization is performed using a … parallel framework for optimization based on the Nondominated Sorting Genetic Algorithm II. Capital requirements for market … risk include an additional stress component introduced by the recent Basel 2.5 regulation. Our optimization with the Basel …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

exert a volatility amplifying effect, depending on the currency of denomination and the cyclicality of the borrower … consumption volatility of low- and middle-income countries. On constructing the debt-weighted effective exchange rates, we examine …