Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation-Reference-Cited by-同舟云学术

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Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation

Published:2017-05-11 Issue:S1 Volume:58 Page:423-463
ISSN:0810-5391
Container-title:Accounting & Finance
language:en
Short-container-title:Account Finance

Author:

Low Rand Kwong Yew¹^ORCID

Affiliation:

1. UQ Business School University of Queensland Brisbane QLD Australia

Funder

Accounting and Finance Association of Australia and New Zealand

Australian Research Council

Publisher

Wiley

Subject

Economics, Econometrics and Finance (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/acfi.12274

Reference82 articles.

1. Pair-copula constructions of multiple dependence

2. Beyond simplified pair-copula constructions

3. Mean–variance versus full-scale optimisation: In and out of sample

4. Asymmetric correlations of equity portfolios

5. RISK AND THE REQUIRED RETURN ON EQUITY

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