Mean-Gini portfolio selection: Forecasting VaR using GARCH models in Moroccan financial market
نویسندگان
چکیده
منابع مشابه
Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR op...
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ژورنال
عنوان ژورنال: Journal of Economics and International Finance
سال: 2015
ISSN: 2006-9812
DOI: 10.5897/jeif2014.0630