Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Young Shin Kim, Rosella Giacometti, Svetlozar Rachev, Frank J. Fabozzi, Domenico Mignacca

Research output: Contribution to journal › Article

Original language	English
Pages (from-to)	325-343
Journal	Annals of Operations Research
DOIs	https://doi.org/10.1007/s10479-012-1229-8
State	Published - Dec 2012

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title = "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model",

author = "Kim, {Young Shin} and Rosella Giacometti and Svetlozar Rachev and Fabozzi, {Frank J.} and Domenico Mignacca",

year = "2012",

month = dec,

doi = "10.1007/s10479-012-1229-8",

language = "English",

pages = "325--343",

journal = "Annals of Operations Research",

issn = "0254-5330",

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TY - JOUR

T1 - Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

AU - Kim, Young Shin

AU - Giacometti, Rosella

AU - Rachev, Svetlozar

AU - Fabozzi, Frank J.

AU - Mignacca, Domenico

PY - 2012/12

Y1 - 2012/12

U2 - 10.1007/s10479-012-1229-8

DO - 10.1007/s10479-012-1229-8

M3 - Article

SP - 325

EP - 343

JO - Annals of Operations Research

JF - Annals of Operations Research

SN - 0254-5330

ER -