Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence
Year of publication: |
2021
|
---|---|
Authors: | Gong, Xiao-Li ; Xiong, Xiong |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 38.2021, p. 1-7
|
Subject: | Copula dependence | Leptokurtosis | Multi-objective portfolio | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Statistische Verteilung | Statistical distribution | Stochastischer Prozess | Stochastic process | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis |
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