Browsing University of Bergen Library by Journals "Finance Research Letters"

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    • Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations 

      Sleire, Anders Daasvand; Støve, Bård; Otneim, Håkon; Berentsen, Geir Drage; Tjøstheim, Dag Bjarne; Haugen, Sverre Hauso (Journal article; Peer reviewed, 2021)
      It is well known that there are asymmetric dependence structures between financial returns. This paper describes a portfolio selection method rooted in the classical mean–variance framework that incorporates such asymmetric ...