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Mesquita et al., 2024 - Google Patents

Scenario generation for financial data with a machine learning approach based on realized volatility and copulas

Mesquita et al., 2024

Document ID
8689784734420267280
Author
Mesquita C
Valle C
Pereira A
Publication year
Publication venue
Computational Economics

External Links

Snippet

Portfolio optimisation is a core problem in quantitative finance and scenario generation techniques play a crucial role in simulating the future behaviour of the assets that can be used in allocation strategies. In the literature, there are different approaches to generating …
Continue reading at link.springer.com (other versions)

Classifications

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