Navegação Ciências Sociais Aplicadas por Autor "Siqueira, Reinaldo Vieira"
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Portfolio optimization based on garch-evt-vinecopula via information ratio, sharpe ratio and sortino index
Siqueira, Reinaldo Vieira (2023) [Dissertação]This study employs an ARMA-GARCH-EVT modeling approach to capture marginal features and Vine copula models to understand tail dependence in a portfolio of 60 stocks listed on the Brazilian stock market, specifically the ...