Dynamic robust portfolio selection under market distress
Yifu Jiang, Jose Olmo, Majed Atwi
| Year of publication: |
2024
|
|---|---|
| Authors: | Jiang, Yifu ; Olmo, Jose ; Atwi, Majed |
| Subject: | Conditional value-at-risk | Dynamic multivariate copula | Financial crisis | GJR-GARCH-EVT | Robust portfolio selection | Portfolio-Management | Portfolio selection | Finanzkrise | Theorie | Theory | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.102037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014445636