Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence
Saurav Kumar, Sujoy Bhattacharya and Satrajit Mandal
| Year of publication: |
2022
|
|---|---|
| Authors: | Kumar, Saurav ; Bhattacharya, Sujoy ; Mandal, Satrajit |
| Subject: | copula | Energy commodities | equity | optimization | tail risk | VaR | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Theorie | Theory | Asiatisch-pazifischer Raum | Asia-Pacific region |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/17520843.2021.1922167 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013350325