Robust omega ratio optimization using regular vines
type: Item
instance of: scholarly article
title: Robust omega ratio optimization using regular vines
zbMATH Open document ID: 1475.90050
author: Anubha Goel
author: Aparna Mehra
published in: Optimization Letters
publication date: 2021-08-19T00:00:00Z
Mathematics Subject Classification ID: 90C17
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 7383566
zbMATH Keywords: portfolio selection
zbMATH Keywords: robust portfolio optimization
zbMATH Keywords: omega ratio
zbMATH Keywords: vine copula
zbMATH Keywords: ARMA-GARCH model
describes a project that uses: Forecast
describes a project that uses: FinTS
describes a project that uses: forecast
MaRDI profile type: Publication
full work available at URL: s11590-020-01629-5
OpenAlex ID: W3048801037
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DOI: 10.1007/S11590-020-01629-5
description: scientific article; zbMATH DE number 7383566