Portfolio construction based on implied correlation information and value at risk
Jesús Rogel-Salazar, Roberto Tella
| Year of publication: |
2015
|
|---|---|
| Authors: | Rogel-Salazar, Jesús ; Tella, Roberto |
| Subject: | Implied correlation | Value at Risk | VaR | Portfolio construction | Risk | Risikomaß | Risk measure | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomanagement | Risk management | Volatilität | Volatility | Risiko | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in spanischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011558686