Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints

This study examines the portfolio optimization problem by exploiting daily data of 10 international Exchange Trade Funds (ETF) from 2012 to 2022. We extend the Black-Litterman (BL) approach using ARMA-GARCH-copula-based expected returns as a proxy for investor views and use the CVaR metric as a risk...

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Detalles Bibliográficos
Autores principales: Teplova, Tamara, Evgeniia, Mikova, Munir, Qaiser, Pivnitskaya, Nataliya
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9362979/
http://dx.doi.org/10.1007/s10644-022-09435-y

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9362979/
http://dx.doi.org/10.1007/s10644-022-09435-y

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