این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
International Journal of Nonlinear Analysis and Applications، جلد ۱۴، شماره ۶، صفحات ۱۹۷-۲۱۰
عنوان فارسی
چکیده فارسی مقاله
کلیدواژه‌های فارسی مقاله
عنوان انگلیسی Proposing a portfolio optimization model based on the GARCH-EVT-Copula combined approach
چکیده انگلیسی مقاله This study aims at optimizing the portfolio of financial assets and in particular focuses on the stock market with conditional value at risk (CVaR) as the portfolio risk measure. This study uses generalized conditional heterogeneity variance methods, the dependency structure, the extreme value theory, and with the GARCH-EVT-Vine-Copula approach to optimize the portfolio and minimize the CVaR of a stock portfolio during a certain period by the re-weighting method. Modeling is based on the performance data of 7 companies among the top 50 listed companies during the period 2015 to 2021. The results show that considering the extreme values and structural dependence between the examined time series improves the risk identification between these markets. In addition, among the studied models, the out-of-sample results for the accumulated wealth function of different models show that when considering the dependence structure, the EGARCH-EVT model based on the Coppola Vine function results outperforms other models.
کلیدواژه‌های انگلیسی مقاله Portfolio Optimization, extreme value theory, Copulas functions, Garch, Conditional Value at Risk
نویسندگان مقاله Abdullah Alishavandi |
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

Mehrzad Minouei |
Department of Industrial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

Mirfaiz FallahShams |
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran.

Gholamreza Zomorodian |
Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran

نشانی اینترنتی https://ijnaa.semnan.ac.ir/article_6990_2ede1af72d5f18c595a19adc10658f83.pdf
فایل مقاله فایلی برای مقاله ذخیره نشده است
کد مقاله (doi)
زبان مقاله منتشر شده en
موضوعات مقاله منتشر شده
نوع مقاله منتشر شده
برگشت به: صفحه اول پایگاه   |   نسخه مرتبط   |   نشریه مرتبط   |   فهرست نشریات