Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach
In this paper, an optimal investment portfolio including securities of four sectors: financial, chemical, pharmaceutical and automotive is estimated. Various types of Copula models are used to study the structure of asset co-dependency. Different types of GARCH models are used to explain volatility...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2018-12-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_9830_9c2e4a0070975e70673850f135aebca1.pdf |