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...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Book Series |
| Published: |
2017
|
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84952690582&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/42469 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Chiang Mai University |