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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Main Authors: Kittawit Autchariyapanitkul, Sutthiporn Piamsuwannakit, Somsak Chanaim, Songsak Sriboonchitta
格式: Book Series
出版: 2018
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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/6653943832/55585
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機構: Chiang Mai University