Portfolio selection based on predictive joint return distribution
Year of publication: |
2019
|
---|---|
Authors: | Jiang, Cuixia ; Ding, Xiaoyi ; Xu, Qifa ; Liu, Yezheng |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 2, p. 196-206
|
Subject: | Portfolio selection | CAViaR | vine copula | D-vine copula-CAViaR | generalized omega ratio | Portfolio-Management | Kapitaleinkommen | Capital income | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Prognoseverfahren | Forecasting model | Statistische Verteilung | Statistical distribution |
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