On portfolio optimization : forecasting asset covariances and variances based on multi-scale risk models
Theo Berger and Christian Fieberg
| Year of publication: |
2016
|
|---|---|
| Authors: | Berger, Theo ; Fieberg, Christian |
| Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 17.2016, 3, p. 295-309
|
| Subject: | Factor models | Minimum-variance portfolio selection | Wavelet decomposition | Portfolio-Management | Portfolio selection | Theorie | Theory | Korrelation | Correlation | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Zustandsraummodell | State space model | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JRF-09-2015-0094 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011628354