├── 1_armaGarchEst.R ├── 2_empDistFit.R ├── 3_copMixFit.R ├── 4_mix_cop_gen_opt.R ├── 5_portfolio_benchmark.R ├── README.md ├── cvar_portfolio_optim.Rproj └── main.R /1_armaGarchEst.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/1_armaGarchEst.R -------------------------------------------------------------------------------- /2_empDistFit.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/2_empDistFit.R -------------------------------------------------------------------------------- /3_copMixFit.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/3_copMixFit.R -------------------------------------------------------------------------------- /4_mix_cop_gen_opt.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/4_mix_cop_gen_opt.R -------------------------------------------------------------------------------- /5_portfolio_benchmark.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/5_portfolio_benchmark.R -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/README.md -------------------------------------------------------------------------------- /cvar_portfolio_optim.Rproj: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/cvar_portfolio_optim.Rproj -------------------------------------------------------------------------------- /main.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/GustavoAlovisi/cvar_portfolio_optim/HEAD/main.R --------------------------------------------------------------------------------