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Robust Omega ratio optimization using regular vines

Authors
  1. A Charnes
  2. A Goel
  3. A Sharma
  4. A Sharma
  5. Anubha Goel
  6. Aparna Mehra
  7. C Gouriéroux
  8. C Keating
  9. CR Bacon
  10. FA Sortino
  11. FJ Fabozzi
  12. GN Gregoriou
  13. H Joe
  14. H Konno
  15. H Markowitz
  16. H Mohammadi
  17. I Kakouris
  18. J Dissmann
  19. JL Treynor
  20. L Chollete
  21. L Hu
  22. M Kapsos
  23. M Kapsos
  24. P Dennis
  25. PC Fishburn
  26. RB Nelsen
  27. RC Prim
  28. RF Engle
  29. RF Engle
  30. RS Tsay
  31. RT Rockafellar
  32. RT Rockafellar
  33. S Zhu
  34. T Bedford
  35. T Bedford
  36. TJ Linsmeier
  37. U Cherubini
  38. V Hasselblad
  39. V Hasselblad
  40. WF Sharpe
Publication date
Publisher
'Springer Science and Business Media LLC'
Doi

    Abstract

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      Last time updated on 05/09/2020

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