Portfolio optimization of energy commodity futures returns: Vine copula approach

Portfolio optimization of energy commodity futures returns: Vine copula approach

© Serials Publications Pvt.Ltd. The objectives of this study are to construct the optimum energy commodity portfolio investment by using Vine-copula GARCH, and to quantify their risk with Value-at-Risk and expected shortfall. The 1,979 energy commodity futures prices from 7 energy commodity products...

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書目詳細資料
Main Authors:	Payap Tarkhamtham, Songsak Sriboonchitta, Roengchai Tansuchat
格式:	雜誌
出版:	2018
主題:	Economics, Econometrics and Finance Agricultural and Biological Sciences
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/46501
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