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Persistent link: https://www.econbiz.de/10008907847
We solve for the optimal portfolio allocation in a setting where both conditional correlation and theclustering of extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding tail dependence, even when dynamic conditional correlation has been accounted...
Persistent link: https://www.econbiz.de/10011383108
Persistent link: https://www.econbiz.de/10000909193