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Crypto-assets portfolio selection and optimization: a COGARCH-Rvine approach
Jules Clement Mba
, Sutene Mwambetania Mwambi
School of Economics
University of Johannesburg
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peer-review
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Citation (Scopus)
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Keyphrases
Abrupt Jump
33%
Altcoins
33%
Asset Portfolio
100%
Bitcoin
66%
Blockchain
33%
COGARCH
100%
Crypto
33%
Crypto-assets
100%
Cryptocurrency Exchanges
33%
Crytocurrency
33%
Dependence Structure
33%
Differential Evolution
33%
Distribution Structure
33%
Global Search
33%
Heavy-tailed Distribution
33%
Heuristic Algorithm
33%
Large Loss
33%
Optimal Portfolio
33%
Optimal Portfolio Selection
33%
Portfolio Optimization
100%
Profit Loss
33%
Regular Vine Copula
33%
Stochastic Heuristic
33%
Total Return
33%
Computer Science
Bitcoin
100%
Blockchain
50%
Cryptocurrency
50%
Dependence Structure
50%
Differential Evolution
50%
Heuristic Algorithm
50%
Economics, Econometrics and Finance
Bitcoin
50%
Cryptocurrency
25%
Investors
50%
Optimal Portfolio
50%
Portfolio Selection
100%
Social Sciences
Blockchain
25%
Cryptocurrency
25%
Investors
50%
Portfolio Selection
100%
Stochastics
25%
Technological Change
25%