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Such calculations quickly get messy even in the bivariate case and are best addressed by simulations. That said, the basic question about the fundamental difference between optimisation using Tail risk versus Variance based risk measures can be illustrated by a straightforward calculation using only the total portfolio return. Put simply the philosophical ...


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Althoug I can only provide recommendation as to the forecasting task (see below), I want to point out one big caveat one has to account for: Intraday price volatility- or to be exact, the absolute returns, exhibit an intraday pattern which looks like a wave. This implies that the data is autocorrelated, which violates the assumptions of ARCH/GARCH models (...


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