Optimal expected-shortfall portfolio selection with copula-induced dependence
Year of publication: |
March-April 2018
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Authors: | Gijbels, Irène ; Herrmann, Klaus |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 1/2, p. 66-106
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Subject: | Aggregation of risk | capital allocation | copula | dependence | portfolio selection | Smolyak integration | sums of random variables | Theorie | Theory | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Zufallsvariable | Random variable | Risiko | Risk |
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