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Mean-univariate GARCH VaR portfolio optimization: Actual portfolio approach
Ranković, Vladimir, Drenovak, Mikica, Urosevic, Branko, Jelic, RankoVolume:
72
Language:
english
Journal:
Computers & Operations Research
DOI:
10.1016/j.cor.2016.01.014
Date:
August, 2016
File:
PDF, 975 KB
english, 2016