Portfolio optimization with a copula-based extension of conditional value-at-risk
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Cites work
- Coherent measures of risk
- Credit risk optimization with conditional Value-at-Risk criterion
- Dual Stochastic Dominance and Related Mean-Risk Models
- LP solvable models for portfolio optimization: a classification and computational comparison
- Multivariate value at risk and related topics
- On solving the dual for portfolio selection by optimizing conditional value at risk
- Some remarks on the value-at-risk and the conditional value-at-risk
- The Decomposition Algorithm for Linear Programs
Cited in
(29)- Portfolio optimization for inventory financing: copula-based approaches
- A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
- Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
- Efficiency evaluation of fuzzy portfolio in different risk measures via DEA
- A generalized error distribution copula-based method for portfolios risk assessment
- Multistage optimization of option portfolio using higher order coherent risk measures
- Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
- Robust portfolio optimization with copulas
- Most unfavorable deductibles and coverage limits for multiple random risks with Archimedean copulas
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Portfolio selection based on semivariance and distance correlation under minimum variance framework
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- Robust optimization of mixed CVaR STARR ratio using copulas
- A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem
- A multivariate CVaR risk measure from the perspective of portfolio risk management
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
- Risk preference modeling with conditional average: An application to portfolio optimization
- Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
- Portfolio selection with commodities under conditional copulas and skew preferences
- Portfolio optimization of stock returns in high-dimensions: a copula-based approach
- Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy
- Copula-based estimation of value at risk for the portfolio problem
- Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
- Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds
- A study of a dynamic portfolio selection model based on a complex copula function
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Credit risk optimization with conditional Value-at-Risk criterion
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