Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
type: Item
instance of: scholarly article
title: Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
zbMATH Open document ID: 1402.91659
author: Mazin A. M. Al Janabi
author: Jose Arreola Hernandez
author: Theo Berger
author: Duc Khuong Nguyen
published in: European Journal of Operational Research
publication date: 2018-05-25T00:00:00Z
full work available at URL: MPRA paper 84626.pdf
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6873664
zbMATH Keywords: finance
zbMATH Keywords: dynamic copulas
zbMATH Keywords: lvar
zbMATH Keywords: dependence structure
zbMATH Keywords: portfolio optimization algorithm
MaRDI profile type: Publication
OpenAlex ID: W2552791088
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DOI: 10.1016/J.EJOR.2016.11.019
description: scientific article; zbMATH DE number 6873664