Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market
Year of publication: |
2012
|
---|---|
Authors: | Caldeira, João ; Moura, Guilherme ; Santos, André A.P. |
Published in: |
Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 3, p. 1848-1857
|
Publisher: |
AccessEcon |
Subject: | portfolio optimization | forecasting | performance evaluation | Sharpe ratio |
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