Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium

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Publication:4961415

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DOI10.1002/for.2506zbMath1398.62331OpenAlexW2781865736MaRDI QIDQ4961415

Zhi-Chao Zhang, Fan Zhang

Publication date: 29 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://dro.dur.ac.uk/23526/1/23526.pdf

zbMATH Keywords

portfolio management estimation risk asymmetric risk Bayesian forecast views blending

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Credit risk (91G40)

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