The impact of covariance misspecification in risk-based portfolios

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Veröffentlicht in:Annals of operations research ; volume 254, numbers 1/2 (July 2017)
1. Verfasser: Ardia, David (VerfasserIn)
Weitere Verfasser: Bolliger, Guido (VerfasserIn), Boudt, Kris (VerfasserIn), Gagnon-Fleury, Jean-Philippe (VerfasserIn)
Pages:254
Format: UnknownFormat
Sprache:eng
Veröffentlicht: July 2017
Schlagworte:
Korrelation > Portfolio-Investition > Monte-Carlo-Simulation > Robustes Verfahren > Prognoseverfahren > Aufsatz im Buch
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