Mixed-Copula VaR for Portfolio Risk Evaluation.
Lechuan YinJiebin ChenZhao-Rong LaiPublished in: ICBK (2018)
Keyphrases
- risk evaluation
- risk management
- var model
- portfolio optimization
- monte carlo simulation
- risk measures
- stock index futures
- technological innovation
- portfolio management
- decision support system
- decision making
- robust optimization
- semi parametric
- portfolio selection
- data mining
- impulse response
- gaussian mixture
- economic growth
- software engineering
- management system
- artificial intelligence