A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios
Xiangjin B. Chen; Param Silvapulle; Mervyn Silvapulle
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Xiangjin B. ; Silvapulle, Paramsothy ; Silvapulle, Mervyn J. |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 42.2014, p. 230-242
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| Subject: | Copula | Semiparametric method | Value-at-risk | Investment decision | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Kapitalanlage | Financial investment | Multivariate Verteilung | Multivariate distribution |