Covariance estimation for risk-based portfolio optimization : an integrated approach
Andrew Butler and Roy H. Kwon
| Year of publication: |
2021
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|---|---|
| Authors: | Butler, Andrew ; Kwon, Roy H. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 24.2021, 2, p. 11-41
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| Subject: | data-driven stochastic | programming regression | generalized autoregressive conditional heteroscedasticity (GARCH) | risk-party optimization | empirical risk minimization | differentialbe neural networks | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Neuronale Netze | Neural networks | Experiment | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOR.2021.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013284828