Stressed portfolio optimization with semiparametric method
Year of publication: |
2022
|
---|---|
Authors: | Han, Chuan-Hsiang ; Wang, Kun |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 8.2022, Art.-No. 27, p. 1-34
|
Subject: | Copula method | Kernel method | Portfolio optimization | Risk measure | Risk-sensitive value measure | Scaling effect | Semiparametric method | Tail risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Nichtparametrisches Verfahren | Nonparametric statistics | Risikomaß | Messung | Measurement | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution |
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