Robust portfolio selection with subjective risk aversion under dependence uncertainty
Xiaoshan Su, Yuhan Li
| Year of publication: |
2024
|
|---|---|
| Authors: | Su, Xiaoshan ; Li, Yuhan |
| Published in: |
Economic modelling. - Amsterdam : Elsevier [u.a.], ISSN 0264-9993, ZDB-ID 2013002-8. - Vol. 132.2024, Art.-No. 106667, p. 1-16
|
| Subject: | Mixture R-vine copula uncertainty | R-vine copula change-point detection | Robust portfolio decisions | Subjective risk aversion | Worst-case spectral risk measures | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Risikomaß | Risk measure | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Erwartungsnutzen | Expected utility | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2024.106667 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014547968