Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection
| Year of publication: |
2011-02-11
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|---|---|
| Authors: | Elkamhia, Redouane ; Stefanova, Denitsa |
| Institutions: | Tinbergen Institute |
| Subject: | correlation hedging | dynamic portfolio allocation | Monte Carlo simulation | tail dependence |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 11-028/DSF 10 |
| Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation ; G11 - Portfolio Choice |
| Source: |
Persistent link: https://www.econbiz.de/10008838602