Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises-Reference-Cited by-同舟云学术

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Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises

Published:2023-02 Issue: Volume:109 Page:101916
ISSN:0925-7721
Container-title:Computational Geometry
language:en
Short-container-title:Computational Geometry

Author:

Calès Ludovic^ORCID,Chalkis Apostolos^ORCID,Emiris Ioannis Z.^ORCID,Fisikopoulos Vissarion^ORCID

Publisher

Elsevier BV

Subject

Computational Mathematics,Computational Theory and Mathematics,Control and Optimization,Geometry and Topology,Computer Science Applications

Reference45 articles.

1. Portfolio selection;Markowitz;J. Finance,1952

2. Dynamic risk exposures in hedge funds;Billio;Comput. Stat. Data Anal.,2012

3. The capital asset pricing model: theory and evidence;Fama;J. Econ. Perspect.,2004

4. An Introduction to Copulas;Nelsen,2007

5. Returns to buying winners and selling losers: implications for stock market efficiency;Jegadeesh;J. Finance,1993

Cited by 1 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. Linear programming with infinite, finite, and infinitesimal values in the right-hand side;Applied Mathematics and Computation;2025-02

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