Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
Catherine Bruneau, Alexis Flageollet, Zhun Peng
| Year of publication: |
2020
|
|---|---|
| Authors: | Bruneau, Catherine ; Flageollet, Alexis ; Peng, Zhun |
| Published in: |
Annals of operations research ; volume 284, numbers 1 (January 2020). - New York, NY, USA : Springer. - 2020, p. 165-197
|
| Subject: | Complex dependence | Regular vine copula | Factors | Non-linear multibeta relationship | Portfolio management | Risk management | Risk parity | Extreme risks | Stress testing | Portfolio-Management | Portfolio selection | Risikomanagement | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Risikomaß | Risk measure | Finanzrisiko | Financial risk | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-018-3112-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012165556