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Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market.

Jiaqi LiangLinjing LiDaniel ZengYunwei Zhao
Published in: ISI (2018)
Keyphrases
  • risk measures
  • portfolio optimization
  • portfolio selection
  • risk averse
  • stock price
  • decision making
  • stock market
  • robust optimization
  • financial data
  • portfolio management
  • non stationary
  • multistage