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Dependence calibration and portfolio fit with factor-based subordinators - MaRDI portal

Dependence calibration and portfolio fit with factor-based subordinators (Q5001188)

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scientific article; zbMATH DE number 7372449
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English
Dependence calibration and portfolio fit with factor-based subordinators
scientific article; zbMATH DE number 7372449

    Statements

    title
    Dependence calibration and portfolio fit with factor-based subordinators (English)
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    author
    Elisa Luciano
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    Marina Marena
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    Patrizia Semeraro
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    publication date
    16 July 2021
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    zbMATH Keywords
    Lévy processes
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    multivariate subordinators
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    dependence
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    correlation
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    multivariate asset modelling
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    multivariate subordinated processes
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    factor-based subordinators
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    Identifiers

    zbMATH DE Number
    7372449
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    OpenAlex ID
    W2293975413
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