Optimal Portfolio Under VaR and ES
An analysis of the dependence structure among certain European indices (FTSE100, CAC40, DAX30, ATX20, PX, BUX and BIST) has been conducted. The main features of the financial data were studied: asymmetry, fat-tailedness (leptokurtosis), variability and mutual dependence. We have fitted a regime swit...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wrocław University of Science and Technology
2014-01-01
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| Series: | Operations Research and Decisions |
| Online Access: | http://orduser.pwr.wroc.pl/DownloadFile.aspx?aid=1094 |