Diversifying Portfolios of U.S. Stocks with Crude Oil and Natural Gas : A Regime-Dependent Optimization with Several Risk Measures
Year of publication: |
2018
|
---|---|
Authors: | Gatfaoui, Hayette |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | USA | United States | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Erdöl | Petroleum |
Extent: | 1 Online-Ressource (29 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Forthcoming in Energy Economics Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2015 erstellt |
Other identifiers: | 10.2139/ssrn.3230564 [DOI] |
Classification: | C16 - Specific Distributions ; C32 - Time-Series Models ; D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: | ECONIS - Online Catalogue of the ZBW |
-
CHICAGO: a fast and accurate method for portfolio risk calculation
Broda, Simon A., (2008)
-
Broda, Simon A., (2011)
-
A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models
Huggenberger, Markus, (2010)
- More ...
-
The kiss of information theory that captures systemic risk
Addo, Peter Martey, (2014)
-
Gatfaoui, Hayette, (2010)
-
Nekhili, Mehdi, (2013)
- More ...