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  • Search: subject:"Portfolio weights modeling"
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Year of publication
Subject
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ARCH model 1 ARCH-Modell 1 Capital income 1 Correlation 1 Divergence measures 1 Dual divergence 1 DynamicConditional Modeling 1 Forecasting model 1 Information theory 1 Kapitaleinkommen 1 Korrelation 1 Minimax optimization problems 1 Portfolio Allocation 1 Portfolio Weights Modeling 1 Portfolio selection 1 Portfolio weights modeling 1 Portfolio-Management 1 Prognoseverfahren 1 Realized Correlations 1 Realized Volatility 1 Theorie 1 Theory 1 Volatility 1 Volatilität 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Chalabi, Yohan 1 Cipollini, Fabrizio 1 Gallo, Giampiero M. 1 Palandri, Alessandro 1 Wuertz, Diethelm 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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DISIA working paper 1 MPRA Paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A dynamic conditional approach to portfolio weights forecasting
Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020
Persistent link: https://www.econbiz.de/10012418423
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Portfolio optimization based on divergence measures
Chalabi, Yohan; Wuertz, Diethelm - Volkswirtschaftliche Fakultät, … - 2012
A new portfolio selection framework is introduced where the investor seeks the allocation that is as close as possible to his "ideal" portfolio. To build such a portfolio selection framework, the f-divergence measure from information theory is used. There are many advantages to using the...
Persistent link: https://www.econbiz.de/10011112713
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