Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas |
scientific article; zbMATH DE number 6895346
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas |
scientific article; zbMATH DE number 6895346 |
Statements
Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (English)
0 references
27 June 2018
0 references
risk management
0 references
assets allocation
0 references
VaR
0 references
ES
0 references
dynamic conditional correlation (DCC)
0 references
dynamic equicorrelation (DECO)
0 references
dynamic copula
0 references
0 references
0 references
0 references
