Orthant-based variance decomposition in investment portfolios
Year of publication: |
2021
|
---|---|
Authors: | Giner, Javier |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 291.2021, 2 (1.6.), p. 497-511
|
Subject: | Bivariate normal distribution | Correlation | Finance | Mixture | Variance decomposition | Dekompositionsverfahren | Decomposition method | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection | Korrelation | Statistische Verteilung | Statistical distribution | Schätzung | Estimation |
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