scientific article

zbMath1275.91006MaRDI QIDQ3145111

Bernhard Pfaff

Publication date: 14 December 2012

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

robust optimizationextreme value theoryvalue-at-riskrobust statisticsdiversificationMarkowitz modelexpected shortfall\texttt{R} languagedrawdownBlack-Litterman modeltactical asset allocationstock portfolio optimizationcopula opinion poolingentropy poolingfinancial risk modeling for equitiesmost diversified portfolio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)

Related Items (4)

Optimal allocation of trend following strategies ⋮ Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach ⋮ Linking Tukey's legacy to financial risk measurement ⋮ Data-driven portfolio management with quantile constraints

Uses Software

• R
• vars
• evir
• QRM
• urca
• FRAPO
• cccp
• gogarch
• rneos

This page was built for publication: