Efficient risk simulations for linear asset portfolios in the t-copula model
Halis Sak; Wolfgang Hörmann; Josef Leydold
| Year of publication: |
2010
|
|---|---|
| Authors: | Sak, Halis ; Hörmann, Wolfgang ; Leydold, Josef |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 202.2010, 3 (1.5.), p. 802-809
|
| Subject: | Portfolio-Management | Portfolio selection | Simulation | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003981022