Asset allocation under higher moments with the GARCH filter
Year of publication: |
2015
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Authors: | Kinoshita, Ryo |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 49.2015, 1, p. 235-254
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Subject: | Portfolio allocation | GARCH model | Non-normality | Theorie | Theory | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Risikomaß | Risk measure | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis |
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