Dynamic robust portfolio selection under market distress
Yifu Jiang, Jose Olmo, Majed Atwi
| Year of publication: |
2024
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| Authors: | Jiang, Yifu ; Olmo, Jose ; Atwi, Majed |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 69.2024, 2, Art.-No. 102037, p. 1-17
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| Subject: | Conditional value-at-risk | Dynamic multivariate copula | Financial crisis | GJR-GARCH-EVT | Robust portfolio selection | Portfolio-Management | Portfolio selection | Finanzkrise | Theorie | Theory | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2023.102037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014445636