Multi-asset portfolio returns: A markov switching copula-based approach

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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書目詳細資料
Main Authors:	Kongliang Zhu, Woraphon Yamaka, Songsak Sriboonchitta
格式:	雜誌
出版:	2018
主題:	Mathematics
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
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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