Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations-Reference-Cited by-同舟云学术

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Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations

Published:2021-09 Issue: Volume: Page:102475
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Sleire Anders D.^ORCID,Støve Bård^ORCID,Otneim Håkon,Berentsen Geir Drage,Tjøstheim Dag,Haugen Sverre Hauso

Publisher

Elsevier BV

Subject

Finance

Reference30 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance Math. Econom.,2009

2. Asymmetric correlations of equity portfolios;Ang;J. Financ. Econ.,2002

3. Oil and stock markets before and after financial crises: A local Gaussian correlation approach;Bampinas;J. Futures Mark.,2017

4. Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios;Bekiros;Resour. Policy,2015

5. Increased correlation in bear markets;Campbell;Financ. Anal. J.,2002

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Median-adaptive portfolios: a minimum criteria approach to asset allocation;Annals of Operations Research;2023-07-15

2. Applications in finance;Statistical Modeling Using Local Gaussian Approximation;2022

3. Maximizing the probability to reach the goal: an exploration exercise in goal-based wealth management;SSRN Electronic Journal;2022

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