Robust omega ratio optimization using regular vines
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- ARCH models and financial applications
- An introduction to copulas.
- Analysis of Financial Time Series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Extended omega ratio optimization for risk-averse investors
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Modelling the persistence of conditional variances
- Omega-CVaR portfolio optimization and its worst case analysis
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Programming with linear fractional functionals
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust portfolio optimization with copulas
- Robust portfolios: contributions from operations research and finance
- Selecting and estimating regular vine copulae and application to financial returns
- Tail dependence functions and vine copulas
- Vines -- a new graphical model for dependent random variables.
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-case robust Omega ratio
Cited in
(6)- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Omega-CVaR portfolio optimization and its worst case analysis
- Portfolio selection via D-vine copula-quantile regression method
- Optimizing Omega
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Individual and cooperative portfolio optimization as linear program
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