Robust optimization of mixed CVaR STARR ratio using copulas (Q1631418)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimization of mixed CVaR STARR ratio using copulas |
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Robust optimization of mixed CVaR STARR ratio using copulas (English)
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6 December 2018
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portfolio optimization
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robust portfolio optimization
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STARR ratio
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mixed conditional value-at-risk
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ARMA-GJR-GARCH model
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regular vine copula
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