Portfolio selection via D-vine copula-quantile regression method

DOI10.13383/J.CNKI.JSE.2019.01.006MaRDI QIDQ5196256zbMATH OpenFDO

Authors Qifa Xu, Xiaying Wang, Cuixia Jiang, Huiyan Li

Publication date 2 October 2019

Full work available at URL https://doi.org/10.13383/J.CNKI.JSE.2019.01.006

zbMATH Keywords

quantile regressionportfolioD-vine copulageneralized Omega ratio

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(3)

• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Forecasting VaR and ES of stock index portfolio: a vine copula method
• Portfolio quantile forecasts based on vine copula and realized GARCH

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