Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2099762286
@@ Property / OpenAlex ID: W2099762286 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Q3620499
@@ Property / cites work: Q3620499 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3003679
@@ Property / cites work: Q3003679 / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional value at risk and related linear programming models for portfolio optimization
+Normal rank
@@ Property / cites work @@
+EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2709279
@@ Property / cites work: Q2709279 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3417687
@@ Property / cites work: Q3417687 / rank @@
+Normal rank
@@ Property / cites work @@
+Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
+Normal rank
@@ Property / cites work @@
+Enterprise risk management: a DEA VaR approach in vendor selection
+Normal rank
@@ Property / cites work @@
+Guest editorial
@@ Property / cites work: Guest editorial / rank @@
+Normal rank