Portfolio optimization using multivariate t-copulas with conditionally skewed margins
Chirag Shekhar, Prof. Dr. Mark Trede
| Year of publication: |
August 2017
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|---|---|
| Authors: | Shekhar, Chirag ; Trede, Mark |
| Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - Vol. 9.2017, 3, p. 29-41
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| Subject: | Utility maximization | Portfolio management | GARCH process | Multivariate return distributions | Copula | Portfolio-Management | Portfolio selection | Theorie | Theory | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Multivariate Verteilung | Multivariate distribution | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011718727