Algorithms for finding copulas minimizing convex functions of sums (Q5506760)
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scientific article; zbMATH DE number 6664635
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| English | Algorithms for finding copulas minimizing convex functions of sums |
scientific article; zbMATH DE number 6664635 |
Statements
Algorithms for Finding Copulas Minimizing Convex Functions of Sums (English)
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16 December 2016
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multivariate risk measure
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block RA
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rearrangement algorithm
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minimum variance
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discrete optimization
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MCMC
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0.7296976447105408
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0.7268299460411072
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0.7252498269081116
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0.7223895192146301
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