Portfolio optimization under VaR constraints based on dynamic estimates of the variance-covariance matrix
Katja Specht and Peter Winker
| Year of publication: |
2008
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|---|---|
| Authors: | Specht, Katja ; Winker, Peter |
| Published in: |
Computational methods in financial engineering : essays in honour of Manfred Gilli. - Berlin : Springer, ISBN 3-540-77957-4. - 2008, p. 73-94
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Heuristik | Heuristics | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003669449