Robust portfolio selection with regime switching and asymmetric dependence
Xiaoshan Su, Manying Bai, Yingwei Han
| Year of publication: |
2021
|
|---|---|
| Authors: | Su, Xiaoshan ; Bai, Manying ; Han, Yingwei |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 99.2021, p. 1-13
|
| Subject: | Asymmetric dependence | Financial crisis | R-vine copulas | Regime switching | Robust portfolio decisions | Worst-case CVaR | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Finanzkrise | Markov-Kette | Markov chain | Theorie | Theory | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.03.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012795788