Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization

DOI10.1007/978-3-540-74450-4_21zbMath1172.91316OpenAlexW1561368966MaRDI QIDQ3611913

Lujie Sun, Manying Bai

Publication date: 3 March 2009

Published in: Combinatorics, Algorithms, Probabilistic and Experimental Methodologies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-74450-4_21

zbMATH Keywords

GARCHCVaRCopulaPortfolio Optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

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