Dynamic copula-based expectile portfolios
Author:
Funder
Linnéuniversitetet
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41260-021-00210-8.pdf
Reference58 articles.
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3. Acerbi, C., and D. Tasche. 2002. On the coherence of expected shortfall. Journal of Banking & Finance 26 (7): 1487–1503.
4. Al Janabi, M.A., J. Arreola Hernandez, T. Berger, and D.K. Nguyen. 2017. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. European Journal of Operational Research 259 (3): 1121–1131.
5. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. 1999. Coherent measures of risk. Mathematical Finance 9 (3): 203–228.
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