Portfolio optimization when risk factors are conditionally varying and heavy tailed
Year of publication: |
2006
|
---|---|
Authors: | Doganoglu, Toker ; Hartz, Christoph ; Mittnik, Stefan |
Institutions: | Center for Financial Studies |
Subject: | Multivariate Stable Distribution | Index Model | Portfolio Optimization | Value-at- Risk | Model Adequacy |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2006/24 |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; G18 - Government Policy and Regulation |
Source: |
-
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker, (2006)
-
Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
Doganoglu, Toker, (2006)
-
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Doganoglu, Toker, (2007)
- More ...
-
Portfolio Optimization wehn Risk Factors are Conditionally Varying and Heavy Tailed
Doganoglu, Toker, (2006)
-
Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph, (2006)
-
Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
Hartz, Christoph, (2006)
- More ...