Portfolio optimization when risk factors are conditionally varying and heavy tailed (Q2642602)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization when risk factors are conditionally varying and heavy tailed |
scientific article |
Statements
Portfolio optimization when risk factors are conditionally varying and heavy tailed (English)
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17 August 2007
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Multivariate stable distribution
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Index model
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Portfolio optimization
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Value-at-risk
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Model adequacy
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