Optimal portfolios with minimum capital requirements
Year of publication: |
2012
|
---|---|
Authors: | Santos, André A.P. ; Nogales, Francisco J. ; Ruiz, Esther ; Dijk, Dick Van |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 7, p. 1928-1942
|
Publisher: |
Elsevier |
Subject: | Convex optimization | Multivariate GARCH | Out-of-sample evaluation | Stress testing |
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