Covariance estimation for risk-based portfolio optimization : an integrated approach
Year of publication: |
2021
|
---|---|
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
|
Subject: | data-driven stochastic | programming regression | generalized autoregressive conditional heteroscedasticity (GARCH) | risk-party optimization | empirical risk minimization | differentialbe neural networks | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Neuronale Netze | Neural networks | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation | Risikomaß | Risk measure | Risiko | Risk | Schätzung | Estimation |
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