Estimating risk measures of multiple portfolio optimization strategies
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2023-01-06
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Targino, Rodrigo dos Santos
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This study uses daily data over the 2016-2022 period to analyze the risks of multiple investment strategies from the standpoint of a U.S. investor with a diversi ed portfolio including both traditional and crypto assets. Diferent methods for estimating tail risk measures of conditional heteroscedastic models were analyzed and the results show that the Variance-Covariance method with EWMA estimators yields the best estimation of portfolio risk.