Dynamic robust portfolio selection with copulas
Year of publication: |
May 2017
|
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Authors: | Han, Yingwei ; Li, Ping ; Xia, Yong |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 21.2017, p. 190-200
|
Subject: | Conditional value-at-Risk | Robust optimization | DCC Copulas | Copula-GARCH | Asymmetry | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Theorie | Theory | ARCH-Modell | ARCH model |
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