Robust portfolio optimization with copulas

DOI10.1016/j.ejor.2013.12.022zbMath1305.91221OpenAlexW2017332597MaRDI QIDQ2256232

Iakovos Kakouris, Berc Rustem

Publication date: 19 February 2015

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.12.022

zbMATH Keywords

copulasconvex programmingrobust optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Convex programming (90C25) Portfolio theory (91G10)

Related Items (19)

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Cites Work

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• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Families of Multivariate Distributions
• Minimax Theorems

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