Portfolio optimization using dynamic factor and stochastic...

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Portfolio optimization using dynamic factor and stochastic volatility: evidence on Fat-tailed errors and leverage

Ishihara, Tsunehiro, Omori, Yasuhiro
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Year:
2016
Language:
english
Journal:
The Japanese Economic Review
DOI:
10.1111/jere.12114
File:
PDF, 2.81 MB
english, 2016
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