A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Year of publication: |
2020
|
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Authors: | Yan, Zhe ; Chen, Zhiping ; Consigli, Giorgio ; Liu, Jia ; Jin, Ming |
Published in: |
Stochastic optimization: theory and applications. - New York, NY, USA : Springer. - 2020, p. 849-881
|
Subject: | Copula | Scenario tree generation | Tail of the distribution | Portfolio selection | Portfolio-Management | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Algorithmus | Algorithm |
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