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Dynamic robust portfolio selec...
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1
Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan
;
Bai, Manying
;
Han, Yingwei
- In:
Economic modelling
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
Saved in:
2
Dynamic robust portfolio selection with copulas
Han, Yingwei
;
Li, Ping
;
Xia, Yong
- In:
Finance research letters
21
(
2017
),
pp. 190-200
Persistent link: https://www.econbiz.de/10011807775
Saved in:
3
Robust portfolio selection based on copula change analysis
Han, Yingwei
;
Li, Ping
;
Li, Jie
;
Wu, Sanmang
- In:
Emerging markets, finance & trade : a journal of the …
56
(
2020
)
15
,
pp. 3635-3645
Persistent link: https://www.econbiz.de/10012423664
Saved in:
4
A concept of copula robustness and its applications in quantitative risk management
Zähle, Henryk
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 825-875
Persistent link: https://www.econbiz.de/10013440253
Saved in:
5
Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan
;
Li, Yuhan
- In:
Economic modelling
132
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014547968
Saved in:
6
Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo
;
Liu, Lan
;
Wang, Da
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
Saved in:
7
Portfolio optimization with GARCH-EVT-Copula-CVaR models
Huang, Chin-Wen
;
Hsu, Chun-Pin
- In:
Banking and finance review
7
(
2015
)
1
,
pp. 19-31
Persistent link: https://www.econbiz.de/10011443808
Saved in:
8
Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Pradhan, Ashis Kumar
;
Mittal, Ishan
;
Tiwari, Aviral Kumar
- In:
Macroeconomics and finance in emerging market economies
14
(
2021
)
3
,
pp. 291-307
Persistent link: https://www.econbiz.de/10012649582
Saved in:
9
Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew
;
Alcock, Jamie
;
Faff, Robert W.
; …
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
Saved in:
10
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
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