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Estimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach

Reza Taleblou; mohammad mahdi davoudi

Volume 18, Issue 71 , January 2019, , Pages 91-125

https://doi.org/10.22054/joer.2018.9830

Abstract
  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 of ...  Read More