Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Year of publication: |
[2017]
|
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Authors: | Jin, Xisong ; Lehnert, Thorsten |
Publisher: |
Luxembourg : University of Luxembourg, Faculty of Law, Economics and Finance, Luxembourg School of Finance |
Subject: | risk management | assets allocation | VaR | ES | dynamic conditional correlation(DCC) | dynamic equicorrelation (DECO) | dynamic copula | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Korrelation | Correlation | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (circa 44 Seiten) Illustrationen |
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Series: | LSF research working paper series. - Luxembourg, ZDB-ID 2781733-7. - Vol. no. 17, 12 (December 2017) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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