Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Noureddine Kouaissah, Sergio Ortobelli Lozza, Ikram Jebabli
| Year of publication: |
2022
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|---|---|
| Authors: | Kouaissah, Noureddine ; Ortobelli Lozza, Sergio ; Jebabli, Ikram |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 60.2022, 3, p. 833-859
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| Subject: | Copulas | Large-scale portfolio selection | Performance measures | Return approximation | Semiparametric regression | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Schätzung | Estimation | Kapitaleinkommen | Capital income | Performance-Messung | Performance measurement | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10167-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380843