Portfolio optimization for student t and skewed t returns
Year of publication: |
2010
|
---|---|
Authors: | Hu, Wenbo ; Kercheval, Alec |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 10.2010, 1, p. 91-105
|
Publisher: |
Taylor & Francis Journals |
Subject: | Portfolio optimization | Portfolio management | Correlation modelling | Risk management | Value at risk | Model estimation |
-
Eisele, Burkhard, (2004)
-
Risikomessung mit dem Conditional Value-at-Risk : Implikationen für das Entscheidungsverhalten
Hanisch, Jendrik, (2006)
-
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia, (2015)
- More ...
-
Modelling credit risk in the jump threshold framework
Chiu, Chun-Yuan, (2018)
-
THE MARKET - Modeling Credit Risk
Kercheval, Alec, (2003)
- More ...