Arneric, Josip; Jurun, Elza; Pivac, Snježana - In: Economic Analysis Working Papers (2002-2010). Atlantic … 7 (2008) October, pp. 1-11
Risk management in this paper is focused on multivariate risk-return decision making assuming time-varying estimation. Empirical research in risk management showed that the static "mean-variance" methodology in portfolio optimization is very restrictive with unrealistic assumptions. The...