Semi-metric portfolio optimization : a new algorithm reducing simultaneous asset shocks
Year of publication: |
2023
|
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Authors: | James, Nick ; Menzies, Max ; Chan, Jennifer |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 11.2023, 1, Art.-No. 8, p. 1-33
|
Subject: | change point detection | market crises | nonlinear dynamics | portfolio optimization | time series analysis | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Schock | Shock | Finanzkrise | Financial crisis | Finanzmarkt | Financial market |
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