A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization
Jules Clement Mba, Edson Pindza, Ur Koumba
| Year of publication: |
November 2018
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|---|---|
| Authors: | Mba, Jules Clement ; Pindza, Edson ; Koumba, Ur |
| Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 32.2018, 4, p. 399-418
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| Subject: | Cryptocurrencies | GARCH | Differential evolution | t-copula | CVaR | Portfolio optimization | Portfolio-Management | Portfolio selection | Virtuelle Währung | Virtual currency | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11408-018-0320-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011952000