Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets
Wolfgang Karl Härdle, David Kuo Chuen Lee, Sergey Nasekin, Alla Petukhina
| Year of publication: |
January 2018
|
|---|---|
| Authors: | Härdle, Wolfgang ; Lee, David Kuo Chuen ; Nasekin, Sergey ; Petukhina, Alla |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 19.2018, 1, p. 49-63
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| Subject: | Adaptive lasso | Portfolio optimization | Quantile regression | Value-at-Risk | Tail events | Portfolio-Management | Portfolio selection | Investmentfonds | Investment Fund | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Ausreißer | Outliers | Regressionsanalyse | Regression analysis | Kapitalmarktrendite | Capital market returns | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-017-0060-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847640