Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 05:19, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model |
scientific article |
Statements
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (English)
0 references
2 April 2013
0 references
portfolio risk
0 references
portfolio optimization
0 references
portfolio budgeting
0 references
marginal contribution
0 references
fat-tailed distribution
0 references
multivariate normal tempered stable distribution
0 references
