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Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios
16 references·11 citing·47 second hop
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this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2009Deciphering the Liquidity and Credit Crunch 2007–20083,326 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation670 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2012A review of copula models for economic time series587 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 1994Forecasting International Equity Correlations521 cited
  • 2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine

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499 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • Cited by

    • 2020U.S. equity and commodity futures markets: Hedging or financialization?68 cited
    • 2014Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach61 cited
    • 2016Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios56 cited
    • 2017Hedging downside risk of oil refineries: A vine copula approach50 cited
    • 2019A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost49 cited
    • 2022Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model45 cited
    • 2018A differential evolution copula-based approach for a multi-period cryptocurrency portfolio optimization33 cited
    • 2019Forecasting of dependence, market, and investment risks of a global index portfolio32 cited
    • 2020A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization31 cited
    • 2020Modeling the enablers of supply chain strategies and information technology: improving performance through TISM approach23 cited
    • 2023Dependence and risk management of portfolios of metals and agricultural commodity futures22 cited