Copula-based Black-Litterman portfolio optimization (Q2060420)
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scientific article; zbMATH DE number 7442954
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copula-based Black-Litterman portfolio optimization |
scientific article; zbMATH DE number 7442954 |
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Copula-based Black-Litterman portfolio optimization (English)
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13 December 2021
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finance
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portfolio optimization
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Black-Litterman framework
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truncated regular vine copula
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tail constraints
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conditional value-at-risk
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