JOURNAL ARTICLE
Dynamic copula-based expectile portfolios
Year: 2021 Journal: Journal of Asset Management Vol: 22 (3)Pages: 209-223 Publisher: Palgrave Macmillan
Keywords:
CVAR Vine copula Copula (linguistics) Econometrics Portfolio Expected shortfall Portfolio optimization Downside risk Risk measure Economics Mathematics Computer science Financial economics
Metrics
7
Cited By
1.20
FWCI (Field Weighted Citation Impact)
60
Refs
0.79
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Risk and Portfolio Optimization
Social Sciences → Decision Sciences → Management Science and Operations Research
Market Dynamics and Volatility
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
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