Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints
Year of publication: |
2023
|
---|---|
Authors: | Teplova, Tamara V. ; Evgeniia, Mikova ; Munir, Qaiser ; Pivnitskaya, Nataliya |
Published in: |
Economic change & restructuring. - Dordrecht : Springer Science & Business Media B.V., ISSN 1574-0277, ZDB-ID 2232275-9. - Vol. 56.2023, 1, p. 515-535
|
Subject: | ARMA-GARCH | Asset allocation | Black-Litterman | Copula | CVaR | Portfolio optimization | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomaß | Risk measure |
-
Karmakar, Madhusudan, (2023)
-
Sang Phu Nguyen, (2019)
-
Yu, Jiayang, (2020)
- More ...
-
Powerful CEOs, debt financing, and leasing in Chinese SMEs : evidence from threshold model
Munir, Qaiser, (2017)
-
Munir, Qaiser, (2018)
-
Mikova, Evgeniya, (2020)
- More ...