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ПРОГНОЗИРОВАНИЕ НА ДОЛГОСРОЧНОМ ПЕРИОДЕ ИНВЕСТИРОВАНИЯ С ИСПОЛЬЗОВАНИЕМ МОДЕЛИ GARCH-EVT-COPULA

descriptionPublicationkeyboard_double_arrow_right Conference object 15 Jan 2020 Russian Publisher:Институт проблем управления им. В. А. Трапезникова РАН

doi: 10.25728/mlsd.2019.2.0426

ПРОГНОЗИРОВАНИЕ НА ДОЛГОСРОЧНОМ ПЕРИОДЕ ИНВЕСТИРОВАНИЯ С ИСПОЛЬЗОВАНИЕМ МОДЕЛИ GARCH-EVT-COPULA

Abstract

Данная работа посвящена моделированию инвестиционного портфеля пенсионных накоплений, а также прогнозированию доходностей портфеля при различных вариантах диверсификации на долгосрочном периоде инвестирования с использованием модели GARCH-EVT-COPULA. Результаты исследования и предложенная процедура оптимизации могут применяться в сфере управления активами и риск-менеджменте.

Related Organizations
Keywords

GARCH, обобщенное распределение Парето, Монте-Карло, оптимизация портфеля, VaR, Метод экстремальных значений, пенсионные накопления, копула

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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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