Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints
Tamara Teplova, Mikova Evgeniia, Qaiser Munir, Nataliya Pivnitskaya
| Year of publication: |
2023
|
|---|---|
| Authors: | Teplova, Tamara V. ; Evgeniia, Mikova ; Munir, Qaiser ; Pivnitskaya, Nataliya |
| Published in: |
Economic change & restructuring. - Dordrecht : Springer Science & Business Media B.V., ISSN 1574-0277, ZDB-ID 2232275-9. - Vol. 56.2023, 1, p. 515-535
|
| Subject: | ARMA-GARCH | Asset allocation | Black-Litterman | Copula | CVaR | Portfolio optimization | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10644-022-09435-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013536410