Fast methods for large-scale non-elliptical portfolio optimization
Year of publication: |
2014
|
---|---|
Authors: | Paolella, Marc S. |
Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 9.2014, 2, p. 1-32
|
Subject: | Expected shortfall | GARCH | mixture distributions | portfolio allocation | shrinkage estimation | simulation | weighted likelihood | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Simulation | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory |
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