Risk measures-based cluster methods for finance

This paper performs an extensive comparison of cluster techniques for financial applications based on risk measures and returns as classification variables. We consider the cluster techniques and risk measures largely used in the literature. For the analysis, we use a database composed of daily retu...

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Veröffentlicht in:	Risk management (Leicestershire, England) England), 2023-03, Vol.25 (1), p.1-56, Article 4
Hauptverfasser:	Guedes, Pablo Cristini, Müller, Fernanda Maria, Righi, Marcelo Brutti
Format:	Artikel
Sprache:	eng
Schlagworte:	Application Asset pricing Capital Classification Cluster analysis Clusters Decision making Economics and Finance Finance Optimization Original Article Risk Risk Management Securities markets Variables
Online-Zugang:	Volltext
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