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

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

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