scientific article; zbMATH DE number 6458317

zbMATH Open1316.91030MaRDI QIDQ5262069FDOQ5262069

Authors: Olivier Le Courtois, Christian Walter 

Publication date: 13 July 2015

Full work available at URL: http://journal-sfds.fr/article/view/118/

Title of this publication is not available (Why is that?)

Recommendations

• Portfolio concentration, portfolio inertia, and ambiguous correlation
• Asymmetry in tail dependence in equity portfolios
• Portfolio value-at-risk optimization for asymmetrically distributed asset returns
• Portfolio symmetry and momentum
• ON THE SHAPE OF ASSET RETURN DISTRIBUTION
• Asymmetric competition, risk, and return distribution
• Asymptotic analysis of portfolio diversification
• Robust portfolio selection based on asymmetric measures of variability of stock returns

zbMATH Keywords

asymmetryportfolioconcentrationco-asymmetry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (3)

• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Portfolio symmetry and momentum
• Portfolio concentration, portfolio inertia, and ambiguous correlation

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