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ArticleRobust normal mixtures for financial portfolio allocation

Marc S. Paolella2017

Article2017

Robust normal mixtures for financial portfolio allocation

Marc S. Paolella

25 citations·0/0 files stored·Econometrics and Statistics

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Bayesian Methods and Mixture Models

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References

2002Dynamic Conditional Correlation 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1991Downside risk 2000Density forecasting: a survey

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Year2017

Typearticle

Published2017-03-08

VenueEconometrics and Statistics

ISSN-L2452-3062

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ecosta.2017.02.003

openalex_workW2594400221

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