In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers' returns and the stock market...

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African insurance sector. We also employ the generalized autoregressive score model (GAS) to capture the dynamic asymmetric dependence between the insurers' returns and the stock market...

This study evaluates the sensitivity and robustness of the systemic risk measure, Conditional Value-at-Risk (CoVaR), estimated using the vine copula and APARCH-DCC models. We compute the CoVaR for the two portfolios across fve allocation strategies. The novel vine copula captures the complex...

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual deci­ sion-making problems. In this study, two distinct asset classes (i.e. assets with extremely lower or higher CPT values) are classified and...

The COVID-19 pandemic has had a devastating impact on the world. The surge in the number of daily new cases and deaths around the world and in South Africa, in particular, has increased fear, psychological breakdown, and uncertainty among the population during the COVID-19 pandemic period,...

The success of Bitcoin has spurred emergence of countless alternative coins with some of them shutting down only few weeks after their inception, thus disappearing with millions of dollars collected from enthusiast investors through initial coin offering (ICO) process. This has led investors...

Cumulative Prospect Theory (CPT) is rooted in behavioural psychology and has demonstrated to possess sufficient explanatory power for use in actual deci­ sion-making problems. In this study, two distinct asset classes (i.e. assets with extremely lower or higher CPT values) are classified and...

This study evaluates the effectiveness of the Non-dominated Sorting Genetic Algorithm III (NSGA-III) in comparison to the traditional Mean-Variance optimization method for financial portfolio management. Leveraging a dataset of global financial assets, we applied both approaches to optimize...