Financial investment risk analysis and countermeasures research based on CVaR-GARCH model
In this paper, based on the vector autoregressive algorithm, the conditional value-at-risk algorithm is used to compute the optimal portfolio, and the mean-CVaR model oriented to portfolio optimization is established based on the mean-variance model. To explain the volatility accumulation characteri...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2024-01-01
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| Series: | Applied Mathematics and Nonlinear Sciences |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/amns-2024-0125 |