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Portfolio optimization based on GARCH-EVT-Copula forecasting models · Study

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ArticlePortfolio optimization based on GARCH-EVT-Copula forecasting models

Maziar Sahamkhadam2018

Article2018

Portfolio optimization based on GARCH-EVT-Copula forecasting models

Maziar Sahamkhadam · Andreas Stephan · Ralf Östermark

84 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1985Does the Stock Market Overreact?2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 1980On estimating the expected return on the market 1963A Simplified Model for Portfolio Analysis 1994The Sharpe Ratio 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Cited by

2020Do Tense Geopolitical Factors Drive Crude Oil Prices?2020Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory 2023Does green improve portfolio optimisation?2022The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis 2022Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic 2022The path of financial risk spillover in the stock market based on the R-vine-Copula model

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Details

Year2018

Typearticle

Published2018-05-04

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations84

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2018.02.004

openalex_workW2801076774

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2021Copula-based Black–Litterman portfolio optimization

2019The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach