Systemic risk and financial system network using financial risk meter: the case of Vietnam

Measurement and Control of Risk Contagion in Portfolio Optimization Processes

“…Subsequent research should be based on broader and more representative research periods and capital market samples, using scientific and reasonable econometric methods such as Copula functions to comprehensively and systematically analyze investment and risk contagion, and consider the impact of external factors on investment portfolios. Especially in the context of China's capital markets opening up to the outside world and the increasing level of financial innovation, in order to better prevent and respond to the huge impact and impact of systemic risks in the international capital market on the Chinese market, in-depth research on portfolio characteristics, and exploration of the specific effects and impacts of portfolio risk management and other factors on them will be the focus of future investors, experts, scholars, and regulatory agencies to improve risk warning levels [39,40]. Therefore, starting from the reality of investment practice, exploring how to find the optimal solution between maximizing returns and minimizing risks, achieving the dual goals of high returns and low risks, and constructing a new and effective time-varying investment portfolio optimization model to measure risks has become a major topic in current investment portfolio optimization research.…”