Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Anders D. Sleire, Bård Støve, Håkon Otneim, Geir Drage Berentsen, Dag Tjøstheim, Sverre Hauso Haugen
| Year of publication: |
2022
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|---|---|
| Authors: | Sleire, Anders D. ; Støve, Bård ; Otneim, Håkon ; Berentsen, Geir Drage ; Tjostheim, Dag ; Haugen, Sverre Hauso |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 46.2022, 2, p. 1-9
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| Subject: | Asymmetric dependence | Local Gaussian correlation | Mean-variance | Portfolio allocation | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Theorie | Theory | Aktienmarkt | Stock market | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2021.102475 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013342680