On the robustness of portfolio allocation under copula misspecification
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Publication:1615817
DOI10.1007/s10479-016-2137-0zbMath1416.91362OpenAlexW2280826012MaRDI QIDQ1615817
Abdallah Ben Saida, Jean-Luc Prigent
Publication date: 31 October 2018
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-016-2137-0
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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Risk management for crude oil futures: an optimal stopping-timing approach ⋮ Statistical arbitrage in jump-diffusion models with compound Poisson processes ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
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