The most entropic canonical copula with an application to "style" investment
Year of publication: |
2018
|
---|---|
Authors: | Chu, Ba ; Satchell, Stephen |
Published in: |
Asymmetric dependence in finance : diversification, correlation and portfolio management in market downturns. - Chichester, West Sussex, United Kingdom : Wiley, ISBN 978-1-119-28901-2. - 2018, p. 221-262
|
Subject: | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection |
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