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
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|---|---|
| Authors: | Kumar, Saurav ; Bhattacharya, Sujoy ; Mandal, Satrajit |
| Published in: |
Macroeconomics and finance in emerging market economies. - London [u.a.] : Routledge, Taylor & Francis Group, ISSN 1752-0851, ZDB-ID 2415178-6. - Vol. 15.2022, 2, p. 177-195
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| Subject: | copula | Energy commodities | equity | optimization | tail risk | VaR | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Asiatisch-pazifischer Raum | Asia-Pacific region | Statistische Verteilung | Statistical distribution |
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