Portfolio Optimization and Risk Estimation of LQ45 Mining Stock Using The ARIMA-GARCH-EVT-COPULA Hybrid Model as Alternative Pension Fund Investment
Economic uncertainty and high commodity market volatility demand more accurate pension fund investment risk management. This study aims to measure risk and determine the optimal portfolio of LQ45 mining stocks as an alternative pension fund investment instrument using a hybrid GARCH-EVT-Copula approach. The data used a...