Vine copula-based scenario tree generation approaches for portfolio optimization

Xiaolei He, Weiguo Zhang

Year of publication:	2024
Authors:	He, Xiaolei ; Zhang, Weiguo
Published in:	Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 6, p. 1936-1955
Subject:	GARCH-type model \| moment matching \| multi-stage scenario trees \| portfolio selection \| vine copula model \| Portfolio-Management \| Portfolio selection \| Multivariate Verteilung \| Multivariate distribution \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Mathematische Optimierung \| Mathematical programming \| Statistische Verteilung \| Statistical distribution

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