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- W2801076774 abstract "Abstract This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student- t and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student- t copulas, are best at reducing the portfolio risk." @default.
- W2801076774 created "2018-05-17" @default.
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- W2801076774 date "2018-07-01" @default.
- W2801076774 modified "2023-09-27" @default.
- W2801076774 title "Portfolio optimization based on GARCH-EVT-Copula forecasting models" @default.
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- W2801076774 doi "https://doi.org/10.1016/j.ijforecast.2018.02.004" @default.
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