Robust omega ratio optimization using regular vines (Q2047199)
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scientific article; zbMATH DE number 7383566
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Robust omega ratio optimization using regular vines |
scientific article; zbMATH DE number 7383566 |
Statements
Robust omega ratio optimization using regular vines (English)
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19 August 2021
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portfolio selection
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robust portfolio optimization
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omega ratio
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vine copula
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ARMA-GARCH model
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0.821247935295105
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0.8050699830055237
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0.7997820377349854
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0.7890592217445374
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0.7635519504547119
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