Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds
Year of publication: |
2010
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Authors: | Caillault, Cyril ; Monier, Stéphane |
Published in: |
Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds. - Basingstoke, Hampshire [u.a.] : Palgrave Macmillan, ISBN 978-0-230-24012-4. - 2010, p. 158-177
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Subject: | Portfolio-Management | Portfolio selection | Zentralbank | Central bank | Multivariate Verteilung | Multivariate distribution | Staatsfonds | Sovereign wealth fund | Risikomaß | Risk measure | Investmentfonds | Investment Fund | Welt | World | Risikomanagement | Risk management |
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