A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios
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More about this item
KeywordsCopula; semiparametric method; value-at-Risk; investment decision;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-09-06 (All new papers)
- NEP-FOR-2013-09-06 (Forecasting)
- NEP-RMG-2013-09-06 (Risk Management)
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