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Portfolio selection
Risk parity
Multivariate Verteilung
5
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Regular vine copula
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Regular Vine copula
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Sahamkhadam, Maziar
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Annals of operations research ; volume 284, numbers 1 (January 2020)
1
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European journal of operational research : EJOR
1
Quantitative finance and economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Portfolio optimisation under copula-based scenarios
Rungnapa Opartpunyasarn
-
2024
Persistent link: https://www.econbiz.de/10014476514
Saved in:
2
An application of
Regular
Vine
copula
in portfolio risk forecasting : evidence from Istanbul stock exchange
Özgür, Cemile
;
Sarıkovanlık, Vedat
- In:
Quantitative finance and economics
5
(
2021
)
3
,
pp. 452-470
Persistent link: https://www.econbiz.de/10012592480
Saved in:
3
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
Saved in:
4
Crypto-assets portfolio selection and optimization : a COGARCH-Rvine approach
Mba, Jules Clement
;
Mwambi, Sutene Mwambetania
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 173-190
Persistent link: https://www.econbiz.de/10013334682
Saved in:
5
Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
Bruneau, Catherine
;
Flageollet, Alexis
;
Peng, Zhun
-
2020
Persistent link: https://www.econbiz.de/10012165556
Saved in:
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