Portfolio selection via high-dimensional stochastic factor Copula
Zhenlong Chen, Jing Chang, Xiaozhen Hao
| Year of publication: |
2024
|
|---|---|
| Authors: | Chen, Zhenlong ; Chang, Jing ; Hao, Xiaozhen |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 67.2024, 1, Art.-No. 105751, p. 1-8
|
| Subject: | Investment portfolio | PMCMC | Risk management | Stochastic factor Copula | Portfolio-Management | Portfolio selection | Risikomanagement | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015061465