Crypto-assets portfolio selection and optimization : a COGARCH-Rvine approach
Jules Clement Mba and Sutene Mwambetania Mwambi
| Year of publication: |
2022
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| Authors: | Mba, Jules Clement ; Mwambi, Sutene Mwambetania |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 26.2022, 2, p. 173-190
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| Subject: | COGARCH | differential evolution | Levy process | portfolio optimization | regular vine copula | Theorie | Theory | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2020-0072 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013334682