Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Year of publication: |
2022
|
---|---|
Authors: | Sleire, Anders D. ; Støve, Bård ; Otneim, Håkon ; Berentsen, Geir Drage ; Tjostheim, Dag ; Haugen, Sverre Hauso |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 2, p. 1-9
|
Subject: | Asymmetric dependence | Local Gaussian correlation | Mean-variance | Portfolio allocation | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Theorie | Theory | Aktienmarkt | Stock market |
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