Robust optimization of mixed CVaR STARR ratio using copulas (Q1631418)
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scientific article; zbMATH DE number 6989843
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust optimization of mixed CVaR STARR ratio using copulas |
scientific article; zbMATH DE number 6989843 |
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Robust optimization of mixed CVaR STARR ratio using copulas (English)
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6 December 2018
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portfolio optimization
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robust portfolio optimization
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STARR ratio
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mixed conditional value-at-risk
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ARMA-GJR-GARCH model
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regular vine copula
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0.8981783
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0.8908364
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0.88687015
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0.8837616
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0.8716036
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0.8679568
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0.8574392
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