Portfolio selection under systemic risk
Weidong Lin, Jose Olmo, Abderrahim Taamouti
| Year of publication: |
2025
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|---|---|
| Authors: | Lin, Weidong ; Olmo, Jose ; Taamouti, Abderrahim |
| Published in: |
Journal of money, credit and banking : JMCB. - Oxford : Wiley-Blackwell, ISSN 1538-4616, ZDB-ID 2010422-4. - Vol. 57.2025, 4, p. 905-949
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| Subject: | conditional volatility models | systemic risk | Sharpe ratio | conditional tail risk | portfolio allocation | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Systemrisiko | Systemic risk | Risiko | Risk | Risikomaß | Risk measure | Kapitaleinkommen | Capital income | Theorie | Theory | ARCH-Modell | ARCH model | Finanzkrise | Financial crisis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/jmcb.13038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015471208