Robust omega ratio optimization using regular vines (Q2047199)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust omega ratio optimization using regular vines |
scientific article |
Statements
Robust omega ratio optimization using regular vines (English)
0 references
19 August 2021
0 references
portfolio selection
0 references
robust portfolio optimization
0 references
omega ratio
0 references
vine copula
0 references
ARMA-GARCH model
0 references
0 references
0 references
