Portfolio selection with conditional covariance matrix and nonlinear programming

DOI10.17654/AS049050343MaRDI QIDQ2967662zbMATH OpenOpenAlexFDO

Authors Julio César Martínez Sánchez, David Sotres-Ramos, Martha Elva Ramírez Guzmán

Publication date 1 March 2017

Published in Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL http://www.pphmj.com/abstract/10272.htm

zbMATH Keywords

dynamic conditional correlation modelmultivariate exponential weighted moving average modelunivariate GARCH model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear programming (90C30) Portfolio theory (91G10)

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