PORTFOLIO SELECTION WITH CONDITIONAL COVARIANCE MATRIX AND NONLINEAR PROGRAMMING

DOI10.17654/AS049050343zbMath1357.91041OpenAlexW2977912035MaRDI QIDQ2967662

David Sotres-Ramos, Martha Elva Ramírez Guzmán, Julio César Martínez Sánchez

Publication date: 1 March 2017

Published in: Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/10272.htm

zbMATH Keywords

dynamic conditional correlation modelmultivariate exponential weighted moving average modelunivariate GARCH model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonlinear programming (90C30) Portfolio theory (91G10)

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