Portfolio Selection with Common Correlation Mixture Models

DOI10.1007/978-3-7908-2050-8_4zbMath1154.91600OpenAlexW178792545MaRDI QIDQ3606095

Markus Haas, Stefan Mittnik

Publication date: 26 February 2009

Published in: Contributions to Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_4

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

VaR-implied tail-correlation matrices ⋮ An EM algorithm for singular Gaussian mixture models

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