Robust portfolio selection based on copula change analysis
Yingwei Han, Ping Li, Jie Li, and Sanmang Wu
| Year of publication: |
2020
|
|---|---|
| Authors: | Han, Yingwei ; Li, Ping ; Li, Jie ; Wu, Sanmang |
| Subject: | Change point analysis | dynamic copula | robust portfolio selection | WCVaR | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Robustes Verfahren | Robust statistics |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1567262 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012423664