Listar por tema "Portfolio Choice"
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Worst case mixture-copula Mean-CVaR portfolio optimization : an implementation for brazilian indexes
(2019) [Tesinas de grado]Using data consisting of Brazilian indexes available from 1993 to 2019 on Economatica’s platform, we employ a Mean-CVaR portfolio optimization through the use of a mixture of multidimensional Clayton, t and Gumbel copula ...