Robust optimization of mixed CVaR STARR ratio using copulas

DOI10.1016/j.cam.2018.08.001zbMath1407.62384OpenAlexW2886551330WikidataQ129392474 ScholiaQ129392474MaRDI QIDQ1631418

Amita Sharma, Aparna Mehra, Anubha Goel

Publication date: 6 December 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.08.001

zbMATH Keywords

portfolio optimizationrobust portfolio optimizationregular vine copulaARMA-GJR-GARCH modelmixed conditional value-at-riskSTARR ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (3)

Robust portfolio optimization: a categorized bibliographic review ⋮ Robust omega ratio optimization using regular vines ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

Uses Software

• FinTS

Cites Work

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