Portfolio construction incorporating asymmetric dependence structures: A user's guide

Accounting and Finance

Volumn 47, Issue 3, 2007, Pages 447-472

  Hatherley, Anthony ^a   Alcock, Jamie ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Asymmetric dependence; Conditional value at risk; Copula functions; Portfolio selection

Indexed keywords

EID: 34548619266     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2007.00219.x     Document Type: Article

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