Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR (Q2832209)
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scientific article; zbMATH DE number 6651407
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| English | Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR |
scientific article; zbMATH DE number 6651407 |
Statements
Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR (English)
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10 November 2016
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dynamic copula
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Conditional Value at Risk (CVaR)
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portfolio optimization
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0.8258878588676453
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0.8084190487861633
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0.8078448176383972
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0.803727388381958
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0.8012204170227051
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