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Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition · Study

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ArticleHeterogeneous tail generalized COMFORT modeling via Cholesky decomposition

Jeffrey Näf2019

OA

Articlebronze2019

Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition

Jeffrey Näf · Marc S. Paolella · Paweł Polak

19 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1980Macroeconomics and Reality 2000Optimization of conditional value-at-risk 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1992Global Portfolio Optimization

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Year2019

Typearticle

Published2019-02-16

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2019.02.004

openalex_workW2913307498

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