Portfolio optimisation under flexible dynamic dependence modelling
Mauro Bernardi, Leopoldo Catania
| Year of publication: |
2018
|
|---|---|
| Authors: | Bernardi, Mauro ; Catania, Leopoldo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 48.2018, p. 1-18
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| Subject: | Markov-switching | Generalized autoregressive score | Dynamic conditional score | Dynamic copula | Portfolio optimisation | Higher order moments | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2018.05.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012109219