Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1515/demo-2018-0002 / rank
 
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Latest revision as of 00:49, 16 July 2024

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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
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    Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (English)
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    27 June 2018
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    risk management
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    assets allocation
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    VaR
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    ES
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    dynamic conditional correlation (DCC)
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    dynamic equicorrelation (DECO)
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    dynamic copula
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    Identifiers

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