Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets
Year of publication: |
2023
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Authors: | Menvouta, Emmanuel Jordy ; Serneels, Sven ; Verdonck, Tim |
Published in: |
The Journal of finance and data science : JFDS. - Amsterdam [u.a.] : Elsevier, ISSN 2405-9188, ZDB-ID 2837532-4. - Vol. 9.2023, Art.-No. 100097, p. 1-13
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Subject: | Cellwise robustness | Distance correlation | Hierarchical clustering | Linkage | Portfolio allocation | Risk contribution | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Messung | Measurement | Volatilität | Volatility | Regionales Cluster | Regional cluster | Clusteranalyse | Cluster analysis | Korrelation | Correlation | Risikomaß | Risk measure |
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