Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
Mazin A.M. Al Janabi, Jose Arreola Hernandez, Theo Berger, Duc Kuong Nguyen
| Year of publication: |
16 June 2017
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| Authors: | Al Janabi, Mazin A. M. ; Hernandez, Jose Arreola ; Berger, Theo ; Nguyen, Duc Khuong |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 259.2017, 3 (16.6.), p. 1121-1131
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| Subject: | Finance | Dynamic copulas | LVaR | Dependence structure | Portfolio optimization algorithm | Portfolio-Management | Portfolio selection | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.11.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011695589