Financial investment risk analysis and countermeasures research based on CVaR-GARCH model

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...

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Bibliographic Details
Main Authors: Wang Yongsheng, Yu Wanrong
Format: Article
Language:English
Published: Sciendo 2024-01-01
Series:Applied Mathematics and Nonlinear Sciences
Subjects:
cvar
garch
financial risk investment
portfolio optimization
return on assets
00a73
Online Access:https://doi.org/10.2478/amns-2024-0125

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