Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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