Copula-based Black-Litterman portfolio optimization
Maziar Sahamkhadam, Andreas Stephan, Ralf Östermark
| Year of publication: |
2022
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|---|---|
| Authors: | Sahamkhadam, Maziar ; Stephan, Andreas ; Östermark, Ralf |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 297.2022, 3 (16.3.), p. 1055-1070
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| Subject: | Finance | Portfolio optimization | Black-Litterman framework | Truncated regular vine copula | Tail constraints | Conditional value-at-risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.06.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013262000