Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach

DOI10.1515/snde-2020-0072OpenAlexW3143286346MaRDI QIDQ2700536

Sutene Mwambetania Mwambi, Jules Clement Mba

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2020-0072

zbMATH Keywords

portfolio optimizationdifferential evolutionLevy processCOGARCHregular vine copula

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• GitHub

Cites Work

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• GitHub
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Stationary and self-similar processes driven by Lévy processes
• Generalized autoregressive conditional heteroscedasticity
• Vines -- a new graphical model for dependent random variables.
• Differential evolution and combinatorial search for constrained index-tracking
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Multivariate extreme‐value distributions with applications to environmental data
• Dynamic portfolio optimization across hidden market regimes
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour

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