Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios (Q2288967)
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scientific article; zbMATH DE number 7153632
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| English | Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios |
scientific article; zbMATH DE number 7153632 |
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Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios (English)
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20 January 2020
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complex dependence
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regular vine copula
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factors
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nonlinear multibeta relationship
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portfolio management
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risk management
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risk parity
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extreme risks
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stress testing
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0.87278813
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0.8664353
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0.8621459
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0.8615909
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0.85667294
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0.8549666
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0.8534686
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