Open AccessPortfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model: Empirical evidence from ASEAN stock indexes
Author(s) -
Sang Phu Nguyen,
Toan Luu Duc Huynh
Publication year - 2019
Publication title -
quantitative finance and economics
Language(s) - English
Resource type - Journals
ISSN - 2573-0134
DOI - 10.3934/qfe.2019.3.562
Subject(s) - cvar , portfolio , portfolio optimization , economics , econometrics , autoregressive conditional heteroskedasticity , stock (firearms) , expected shortfall , value at risk , equity (law) , financial economics , volatility (finance) , risk management , finance , mechanical engineering , political science , law , engineering