Incorporating non-normality return distribution into stock picking models with periodical reallocation and provide a framework for investor's decision making and better risk quantifying
Book Details
Author(s)Lasse Peter Pestel
ISBN / ASINB00YLPMAG2
ISBN-13978B00YLPMAG2
Sales Rank2,859,574
MarketplaceUnited States 🇺🇸
Description
Stock title selection based on Black-Litterman, Extreme value Theory and copulas. Modelling on Stoxx Europe 50 daily returns with quarterly rebalancing.
