Copula-based Black-Litterman portfolio optimization
DOI10.1016/j.ejor.2021.06.015zbMath1490.91193OpenAlexW3171421931MaRDI QIDQ2060420
Maziar Sahamkhadam, Andreas Stephan, Ralf Oestermark
Publication date: 13 December 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.015
portfolio optimizationfinanceconditional value-at-riskBlack-Litterman frameworktail constraintstruncated regular vine copula
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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