Dependence modeling and portfolio optimization with copula-GARCH: a European investment perspective

This study investigates advanced portfolio optimization techniques that integrate copula functions and GARCH models to enhance risk-adjusted performance in the European stock market. Traditional methods, such as mean-variance optimization, often fail to capture non-linear dependencies and heavy-tail...

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Bibliographic Details

Published in:	Frontiers in Applied Mathematics and Statistics
Main Authors:	Anastasija Vasiljeva, Andrejs Matvejevs, Jegors Fjodorovs
Format:	Article
Language:	English
Published:	Frontiers Media S.A. 2025-10-01
Subjects:	copula GARCH Conditional Value at Risk (CVaR) portfolio optimization European stock market high-performance computing
Online Access:	https://www.frontiersin.org/articles/10.3389/fams.2025.1675120/full