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source:"econis"
~person:"Sahamkhadam, Maziar"
~subject:"Multivariate Verteilung"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Multivariate Verteilung
Multivariate distribution
4
Portfolio selection
4
Portfolio-Management
4
Risikomaß
4
Risk measure
4
Theorie
3
Theory
3
Conditional value-at-risk
2
Forecasting model
2
Portfolio optimization
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ARCH model
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ARCH-Modell
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Ausreißer
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Black-Litterman framework
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COVID-19 crisis
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Copula models
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Coronavirus
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Dynamic vine copula
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Expectile value-at-risk
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Extreme value theory
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Finance
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Financial crisis
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Finanzkrise
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GARCH models
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Generalized additive model
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International financial market
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Internationaler Finanzmarkt
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Outliers
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Statistical distribution
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Statistische Verteilung
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Stochastic dominance
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Stochastic process
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Stochastischer Prozess
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Tail constraints
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Truncated regular vine copula
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World
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asymmetric tail dependence
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Sahamkhadam, Maziar
Härdle, Wolfgang
8
Okhrin, Ostap
8
Tiwari, Aviral Kumar
8
Hammoudeh, Shawkat
7
Ji, Qiang
7
Shahzad, Syed Jawad Hussain
7
Tian, Maoxi
7
Giacomini, Enzo
6
Valdesogo, Alfonso
6
Weiß, Gregor
6
Berger, Theo
5
Bormann, Carsten
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Ghorbel, Ahmed
5
Heinen, Andréas
5
Karmakar, Madhusudan
5
Mensi, Walid
5
Reboredo, Juan Carlos
5
Schienle, Melanie
5
Braun, Valentin
4
Fantazzini, Dean
4
Huggenberger, Markus
4
Lee, Seung-Hwan
4
Liu, Bing-Yue
4
Manner, Hans
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Muteba Mwamba, John
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Righi, Marcelo Brutti
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Shim, Jeungbo
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Trück, Stefan
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Weigert, Florian
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Al-Yahyaee, Khamis Hamed
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Allen, David E.
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Alshater, Muneer Maher
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Belkacem, Lotfi
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Bouri, Elie
3
Chabi-Yo, Fousseni
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Chollete, Lorán
3
Czado, Claudia
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De Luca, Giovanni
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Embrechts, Paul
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European journal of operational research : EJOR
1
International journal of forecasting
1
Journal of forecasting
1
The journal of asset management : a major new, international quarterly journal for the financial community
1
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ECONIS (ZBW)
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1
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
2
Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
Saved in:
3
Dynamic copula-based expectile portfolios
Sahamkhadam, Maziar
- In:
The journal of asset management : a major new, …
22
(
2021
)
3
,
pp. 209-223
Persistent link: https://www.econbiz.de/10012581596
Saved in:
4
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Saved in:
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