Copulas and optimal portfolios of the electric vehicle sector
收藏ICPSR2021-01-01 更新2026-04-16 收录
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https://www.openicpsr.org/openicpsr/project/139981/version/V1/view
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资源简介：
How can investors unlock the returns of the electric vehicle industry without taking on excessive risk? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of risk and reward. With daily data from 2012 to 2020, we illustrate the models' practical usefulness by building minimum expected shortfall portfolios and comparing their performance against an equally-weighted benchmark. Our results should be of interest to investors and risk managers seeking exposure to the electric vehicle sector.
提供机构：
Norwegian University of Life Sciences; Inland Norway University of Applied Sciences
创建时间：
2021-01-01
