On the robustness of portfolio allocation under copula misspecification (Q1615817): Difference between revisions

@@ Property / DOI @@
-.1007/s10479-016-2137-0
@@ Property / DOI: 10.1007/s10479-016-2137-0 / rank @@
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@@ Property / author @@
-Jean-Luc Prigent
@@ Property / author: Jean-Luc Prigent / rank @@
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@@ Property / author @@
+Jean-Luc Prigent
@@ Property / author: Jean-Luc Prigent / rank @@
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+W2280826012
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@@ Property / cites work @@
+Myopic Loss Aversion and the Equity Premium Puzzle
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+Q3099631
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+Standardized versus customized portfolio: a compensating variation approach
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+Out-of-sample comparison of copula specifications in multivariate density forecasts
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+Goodness-of-fit tests for copulas: A review and a power study
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+Distributed optimisation of a portfolio's omega
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+Q2736598
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+Autoregressive Conditional Density Estimation
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+An introduction to copulas.
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+Multiple criteria linear programming model for portfolio selection
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+A review of copula models for economic time series
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+Advances in prospect theory: cumulative representation of uncertainty
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@@ Property / DOI @@
+.1007/S10479-016-2137-0
@@ Property / DOI: 10.1007/S10479-016-2137-0 / rank @@
+Normal rank