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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Bibliographic Details
Main Authors: Payap Tarkhamtham, Songsak Sriboonchitta, Roengchai Tansuchat
Format: Journal
Published: 2018
Subjects:
Business, Management and Accounting
Economics, Econometrics and Finance
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/56871
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Institution: Chiang Mai University

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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85019592895&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/56871

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