Merton’s Portfolio Estimation with CVAR-MGarch: An Application to the Italian Stock Market

  • Andrea PieriniEmail author
Research Article


The Merton’s framework is used for finding the solution of a portfolio problem. Then the quantities in this solution are estimated via a cointegrated vector autoregressive model for the mean part and a multivariate Garch for the volatility part. Finally a thousand is simulated by using the estimation before in a Euler scheme for the prices.


Merton’s portfolio CVAR MGarch Stock market 

JEL Classification

C58 G17 C52 


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Copyright information

© The Indian Society for Probability and Statistics (ISPS) 2018

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of Roma TreRomeItaly
  2. 2.Department of MathematicsUniversity of Roma TreRomeItaly

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