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~person:"BEN OMRANE, Walid"
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GARCH models
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foreign ex- change markets
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optimal portfolio selection
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BEN OMRANE, Walid
BAUWENS, Luc
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Intra-daily FX optimal portfolio allocation
BAUWENS, Luc
;
BEN OMRANE, Walid
;
RENGIFO, Erick
-
Center for Operations Research and Econometrics (CORE), …
-
2006
return sub ject to a
Value-at-Risk
(VaR) constraint. Based on intradaily data, the optimization procedure is carried out at …
Persistent link: https://www.econbiz.de/10005065278
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