Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Authors: Mazin A.M. Al Janabi; Jose Arreola Hernandez; Theo Berger; Duc Khuong Nguyen

Journal: European Journal of Operational Research

Publisher: Elsevier BV

Issn: 0377-2217

Link: https://doi.org/10.1016/j.ejor.2016.11.019

Volume: 259

Issue: 3

Year: 2017