Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

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Authors: Xisong Jin, Thorsten Lehnert

Journal title: Dependence Modeling

Journal number: 6/1

Journal publisher: De Gruyter

Published year: 2018

Published pages: 19-46

DOI identifier: 10.1515/demo-2018-0002

ISSN: 2300-2298