Copula shrinkage and portfolio allocation in ultra-high dimensions
Stanislav Anatolyev, Vladimir Pyrlik
| Year of publication: |
2022
|
|---|---|
| Authors: | Anatolyev, Stanislav ; Pyrlik, Vladimir |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 143.2022, p. 1-21
|
| Subject: | Gaussian copula | High dimensionality | Large covariance matrices | Portfolio allocation | Shrinkage | t copula | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2022.104508 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539522