Open AccessRobust Portfolio Selection with GARCH-EVT-Copula
Author(s) -
家涛 陆
Publication year - 2018
Publication title -
tong ji xue yu ying yong
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2325-226X
pISSN - 2325-2251
DOI - 10.12677/sa.2018.71008
Subject(s) - copula (linguistics) , autoregressive conditional heteroskedasticity , econometrics , portfolio , economics , selection (genetic algorithm) , mathematics , statistics , computer science , financial economics , volatility (finance) , artificial intelligence