Wealth management: modeling the nonlinear dependence

DOI10.3233/AF-170203zbMATH Open1395.91417OpenAlexW2735340135MaRDI QIDQ4586458FDOQ4586458

Authors: Mariana Rosa Montenegro, Pedro Henrique M. Albuquerque 

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-170203

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zbMATH Keywords

nonlinear dependenceportfolio selectionlocal Gaussian correlation

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• A note on the impact of nonlinear reward and risk measures
• Time-varying portfolio selection based on DCC-MIDAS and parametric scheme
• A study on modeling the dynamics of statistically dependent returns
• Artificial intelligence in portfolio formation and forecast: Using different variance-covariance matrices

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