A tail-revisited Markowitz mean-variance approach and a portfolio network centrality (Q2090116): Difference between revisions

@@ Property / author @@
-Maria Cristina Recchioni
@@ Property / author: Maria Cristina Recchioni / rank @@
-Normal rank
@@ Property / author @@
+Maria Cristina Recchioni
@@ Property / author: Maria Cristina Recchioni / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10287-022-00422-2
+Normal rank
@@ Property / OpenAlex ID @@
+W4206660216
@@ Property / OpenAlex ID: W4206660216 / rank @@
+Normal rank
@@ Property / cites work @@
+A generalized dynamic conditional correlation model for portfolio risk evaluation
+Normal rank
@@ Property / cites work @@
+Quantile-based optimal portfolio selection
@@ Property / cites work: Quantile-based optimal portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+A Network Approach to Risk Theory and Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Q5376723
@@ Property / cites work: Q5376723 / rank @@
+Normal rank
@@ Property / cites work @@
+Hypothesis test for normal mixture models: the EM approach
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
+Normal rank
@@ Property / cites work @@
+On the network topology of variance decompositions: measuring the connectedness of financial firms
+Normal rank
@@ Property / cites work @@
+Clustering of financial time series in risky scenarios
+Normal rank
@@ Property / cites work @@
+Clustering of time series via non-parametric tail dependence estimation
+Normal rank
@@ Property / cites work @@
+A Signal Processing Perspective of Financial Engineering
+Normal rank
@@ Property / cites work @@
+PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
@@ Property / cites work: PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE / rank @@
+Normal rank
@@ Property / cites work @@
+On the estimation of the variability in the distribution tail
+Normal rank
@@ Property / cites work @@
+Crypto price discovery through correlation networks
+Normal rank
@@ Property / cites work @@
+Assessing value at risk with CARE, the conditional autoregressive expectile models
+Normal rank
@@ Property / cites work @@
+A Theory for Measures of Tail Risk
@@ Property / cites work: A Theory for Measures of Tail Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
+Normal rank
@@ Property / cites work @@
+Degree stability of a minimum spanning tree of price return and volatility
+Normal rank
@@ Property / cites work @@
+Asset Trees and Asset Graphs in Financial Markets
@@ Property / cites work: Asset Trees and Asset Graphs in Financial Markets / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio stress testing applied to commodity futures
+Normal rank
@@ Property / cites work @@
+Clustering and portfolio selection problems: a unified framework
+Normal rank
@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+Cluster analysis for portfolio optimization
@@ Property / cites work: Cluster analysis for portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Sparse precision matrices for minimum variance portfolios
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2090116