Growing semantic vines for robust asset allocation
The vine structure has been widely studied as a graphical representation for high-dimensional dependence modeling, depicting complicated probability density functions, and robust correlation estimation. However, specification of the best vine structure is challenging as the number of candidate vine...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2021
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/151362 |