Portfolio Optimization with Dynamic Factor Copula Model
A new model, the dynamic heterogeneous closed-form factor copula, is proposed for characterizing asset dependence in investment portfolios, using RVaR as a risk measure for increased flexibility and accuracy.
Featured in No. 78 on 12 Dec 2024 · 6 days after release
- Released
- 6 Dec 2024
- First featured
- No. 78 · 12 Dec 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 5046687
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