Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677)
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scientific article; zbMATH DE number 6895346
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| default for all languages | No label defined |
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| English | Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas |
scientific article; zbMATH DE number 6895346 |
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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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0.8581825494766235
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0.7746840119361877
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0.7687581777572632
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0.7675502300262451
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0.7662074565887451
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