Cargando…
Stressed portfolio optimization with semiparametric method
Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean–variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation and copula...
| Autores principales: | , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8918087/ https://www.ncbi.nlm.nih.gov/pubmed/35309969 http://dx.doi.org/10.1186/s40854-022-00333-w |