Optimisation in the presence of tail-dependence and tail risk: a heuristic approach for strategic asset allocation
Francesco Paolo Natale
| Year of publication: |
2008
|
|---|---|
| Authors: | Natale, Francesco Paolo |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 8.2007/08, 6, p. 374-400
|
| Subject: | Portfolio-Management | Portfolio selection | CAPM | Monte-Carlo-Simulation | Monte Carlo simulation | Heuristik | Heuristics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003632526