Multi-asset portfolio returns: A markov switching copula-based approach
© 2016 by the Mathematical Association of Thailand. All rights reserved. The motivation for undertaking this paper stems from doubt that whether investors should keep the same strategy on the portfolio over periods of market regime shift. This paper investigates portfolio risk structure for multi-as...
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| Main Authors: | , , |
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| 格式: | 雜誌 |
| 出版: |
2018
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| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008367806&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55962 |
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| 機構: | Chiang Mai University |