Portfolio optimization based on artificial neural network and GARCH-EVT-copula models

DOI10.1142/S0218488523400184MaRDI QIDQ6535937zbMATH OpenFDO

Authors Bao Quoc Ta, Nguyen H. Q. Khai

Publication date 13 March 2024

Published in International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryGARCH modelsportfolio optimizationartificial neural networkcopula models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) 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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Cites work

• scientific article; zbMATH DE number 5898106 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• An introduction to copulas.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Elements of Copula Modeling with R
• Linear time-varying regression with copula-DCC-GARCH models for volatility
• Quantitative risk management. Concepts, techniques and tools
• Statistical inference using extreme order statistics
• Statistics of financial markets. An introduction
• The elements of financial econometrics
• The use of GARCH models in VaR estimation

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