Time Series Clustering on Lower Tail Dependence for Portfolio Selection

DOI10.1007/978-3-319-02499-8_12zbMath1418.91463OpenAlexW111439986MaRDI QIDQ4561907

Paola Zuccolotto, Giovanni De Luca

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_12

zbMATH Keywords

Sharpe ratioportfolio selectionefficient frontiertail dependencedissimilarity matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items

A double clustering algorithm for financial time series based on extreme events, Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach

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