The impact of covariance misspecification in risk-based portfolios
David Ardia, Guido Bolliger, Kris Boudt, Jean-Philippe Gagnon-Fleury
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Ardia, David ; Bolliger, Guido ; Boudt, Kris ; Gagnon-Fleury, Jean-Philippe |
| Published in: |
Annals of operations research ; volume 254, numbers 1/2 (July 2017). - New York, NY, USA : Springer. - 2017, p. 1-16
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| Subject: | Korrelation | Correlation | Portfolio-Investition | Foreign portfolio investment | Monte-Carlo-Simulation | Monte Carlo simulation | Robustes Verfahren | Robust statistics | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-017-2474-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011711667