Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Year of publication: |
2012
|
---|---|
Authors: | Kim, Young Shin ; Giacometti, Rosella ; Račev, Svetlozar T. ; Fabozzi, Frank J. ; Mignacca, Domenico |
Publisher: |
Karlsruhe : KIT [u.a.] |
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Theorie | Theory | Schätzung | Estimation | USA | United States |
Extent: | Online-Ressource (PDF-Datei: 26 S., 1,28 MB) graph. Darst. |
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Series: | Working paper series in economics. - Karlsruhe : [Verlag nicht ermittelbar], ISSN 2190-9806, ZDB-ID 2573087-3. - Vol. 44 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzung: Acrobat Reader |
Other identifiers: | hdl:10419/62001 [Handle] |
Classification: | c58 ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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