On the robustness of portfolio allocation under copula misspecification
type: Item
instance of: scholarly article
title: On the robustness of portfolio allocation under copula misspecification
zbMATH Open document ID: 1416.91362
author: Abdallah Ben Saida
author: J. L. Prigent
published in: Annals of Operations Research
publication date: 2018-10-31T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62H05
zbMATH DE Number: 6969444
zbMATH Keywords: copulas
zbMATH Keywords: portfolio allocation
zbMATH Keywords: Gof-test
zbMATH Keywords: GARCH model
zbMATH Keywords: risk aversion
zbMATH Keywords: loss aversion
MaRDI profile type: Publication
full work available at URL: s10479-016-2137-0
OpenAlex ID: W2280826012
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DOI: 10.1007/S10479-016-2137-0
description: scientific article; zbMATH DE number 6969444