Optimizing Stock Returns Portfolio Using the Dependence Structure Between Capital Asset Pricing Models: A Vine Copula-Based Approach
© Springer International Publishing Switzerland 2016. We applied the vine copulas, which can measure the dependence structure of uncertainty in portfolio investments. C-vine and D-vine copulas based on capital asset pricing models were used to exhibit portfolio risk structure in the content of asset...
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2017
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42469 |
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