Panic-aware portfolio optimization
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DOI: 10.1057/s41260-018-00103-3
Abstract: This article provides a portfolio optimization approach that takes into account extreme events. By merging a (downside-only) panic copula with the empirical marginal distributions, panic-awareness is attained for the optimization process. This approach includes the… read more here.
Keywords: optimization; panic aware; portfolio optimization; aware portfolio ... See more keywords