Robust portfolio selection with subjective risk aversion under dependence uncertainty-Reference-Cited by-同舟云学术

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Robust portfolio selection with subjective risk aversion under dependence uncertainty

Published:2024-03 Issue: Volume:132 Page:106667
ISSN:0264-9993
Container-title:Economic Modelling
language:en
Short-container-title:Economic Modelling

Author:

Su Xiaoshan^ORCID,Li Yuhan

Funder

Humanities and Social Science Fund of Ministry of Education of the People's Republic of China

Beijing Social Science Fund

Ministry of Education of the People's Republic of China

Beijing Municipal Social Science Foundation

Publisher

Elsevier BV

Reference49 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insur.: Math. Econ.,2009

2. Spectral measures of risk: A coherent representation of subjective risk aversion;Acerbi;J. Bank. Financ.,2002

3. Portfolio optimization with spectral measures of risk;Acerbi,2002

4. International asset allocation with regime shifts;Ang;Rev. Financ. Stud.,2002

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

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