Panic-aware portfolio optimization
Josef Zorn
| Year of publication: |
2019
|
|---|---|
| Authors: | Zorn, Josef |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 20.2019, 2, p. 103-110
|
| Subject: | Panic copula | Portfolio optimization | CVaR | Expected shortfall | Entropy pooling | Panic markets | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Entropie | Entropy | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-018-00103-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012059765