Copula-based Black-Litterman portfolio optimization (Q2060420): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 20:59, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copula-based Black-Litterman portfolio optimization |
scientific article |
Statements
Copula-based Black-Litterman portfolio optimization (English)
0 references
13 December 2021
0 references
finance
0 references
portfolio optimization
0 references
Black-Litterman framework
0 references
truncated regular vine copula
0 references
tail constraints
0 references
conditional value-at-risk
0 references
