Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
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DOI: 10.1007/s10479-018-3112-8
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More about this item
Keywords
Complex dependence; Regular vine copula; Factors; Non-linear multibeta relationship; Portfolio management; Risk management; Risk parity; Extreme risks; Stress testing;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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