Algorithms for finding copulas minimizing convex functions of sums

DOI10.1142/S0217595916500408MaRDI QIDQ5506760zbMATH OpenOpenAlexFDO

Authors Carole Bernard, Donald L. McLeish

Publication date 16 December 2016

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.02130

zbMATH Keywords

block RAdiscrete optimizationMCMCminimum variancemultivariate risk measurerearrangement algorithm

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Convex programming (90C25)

Abstract: We develop improved rearrangement algorithms to find the dependence structure that minimizes a convex function of the sum of dependent variables with given margins. We propose a new multivariate dependence measure, which can assess the convergence of the rearrangement algorithms and can be used as a stopping rule. We show how to apply these algorithms for example to finding the dependence among variables for which the marginal distributions and the distribution of the sum or the difference are known. As an example, we can find the dependence between two uniformly distributed variables that makes the distribution of the sum of two uniform variables indistinguishable from a normal distribution. Using MCMC techniques, we design an algorithm that converges to the global optimum.

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Cited in

(10)

• Rearrangement algorithm and maximum entropy
• Block rearranging elements within matrix columns to minimize the variability of the row sums
• A model-free approach to multivariate option pricing
• Range value-at-risk bounds for unimodal distributions under partial information
• Improved algorithms for computing worst value-at-risk
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• scientific article; zbMATH DE number 7387532 (Why is no real title available?)
• The impact of correlation on (Range) Value-at-Risk
• Negative dependence in matrix arrangement problems
• Improved block rearrangement algorithm

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