Forward-looking portfolio selection with multivariate non-Gaussian models
Michele Leonardo Bianchi and Gian Luca Tassinari
| Year of publication: |
2020
|
|---|---|
| Authors: | Bianchi, Michele Leonardo ; Tassinari, Gian Luca |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 10, p. 1645-1661
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| Subject: | Multivariate non-Gaussian processes | Normal mean-variance mixtures | Portfolio optimization | Portfolio risk measures | Time-changed Brownian motion | Stochastischer Prozess | Stochastic process | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | CAPM |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1733057 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012295628