On the choice of covariance specifications for portfolio selection problems
Alexandre R. Ferreira, Andre A. P. Santos
| Year of publication: |
May 2017
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| Authors: | Ferreira, Alexandre R. ; Santos, André A. P. |
| Published in: |
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1980-2447, ZDB-ID 2392364-7. - Vol. 37.2017, 1, p. 89-122
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| Subject: | Composite likelihood | Conditional correlation models | Factor models | Multi-variate GARCH | Portfolio-Management | Portfolio selection | Korrelation | Correlation | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Modellierung | Scientific modelling | Faktorenanalyse | Factor analysis | Risikomaß | Risk measure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/bre.v37n12017.63579 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860512