Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models (Q5400826)
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scientific article; zbMATH DE number 6268768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models |
scientific article; zbMATH DE number 6268768 |
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Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models (English)
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12 March 2014
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asset allocation
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mean-variance efficient frontier
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multivariate GARCH process
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optimal portfolios
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asymptotic normality
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elliptical distribution
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