The impact of covariance misspecification in risk-based portfolios (Q126312)
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scientific article; zbMATH DE number 6764414
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | The impact of covariance misspecification in risk-based portfolios |
scientific article; zbMATH DE number 6764414 |
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254
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1-2
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1-16
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22 March 2017
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25 August 2017
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The impact of covariance misspecification in risk-based portfolios (English)
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covariance misspecification
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Monte Carlo study
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risk-based portfolios
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0.7789689302444458
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0.7582163214683533
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0.7553460001945496
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0.7515952587127686
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0.7513880133628845
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Kris Boudt
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Guido Bolliger
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Jean-Philippe Gagnon-Fleury
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