Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes

This study employs several methods to simulate and construct the portfolio from stock indexes of the six Association of Southeast Asian Nations (ASEAN) markets during the period from January 2001 to December 2017, namely, time-varying Copulas; Glosten, Jagannathan and Runkle (GJR); generalised autor...

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發表在:	Quantitative Finance and Economics
Main Authors:	Sang Phu Nguyen, Toan Luu Duc Huynh
格式:	Article
語言:	英语
出版:	AIMS Press 2019-09-01
主題:	GARCH models GJR EVT Copulas models CVaR portfolio optimization
在線閱讀:	https://www.aimspress.com/article/10.3934/QFE.2019.3.562/fulltext.html