Dynamic return scenario generation approach for large-scale portfolio optimisation framework
David Neděla, Sergio Ortobelli Lozza, Tomáš Tichý
| Year of publication: |
2025
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|---|---|
| Authors: | Neděla, David ; Ortobelli Lozza, Sergio ; Tichý, Tomáš |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 65.2025, 2, p. 819-843
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| Subject: | ARMA-GARCH model | Conditional expectations | Large-scale portfolio optimisation | Principal component analysis | Trend analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | ARCH-Modell | ARCH model | Hauptkomponentenanalyse |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10541-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015589859