Portfolio optimization of stock returns in high-dimensions: A copula-based approach

Portfolio optimization of stock returns in high-dimensions: A copula-based approach

© 2014 by the Mathematical Association of Thailand. All rights reserved. We used the multivariate t copula, which can capture the tail dependence to modeling the dependence structure of the risk in portfolio analysis. Multivariate t copula based on GARCH model was used to explain portfolio risk stru...

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書目詳細資料
Main Authors:	K. Autchariyapanitkul, S. Sriboonchitta, S. Chanaim
格式:	雜誌
出版:	2018
主題:	Mathematics
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84907234273&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53674
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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