Robust portfolio optimization with copulas
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Publication:2256232
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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- scientific article; zbMATH DE number 3954145 (Why is no real title available?)
- scientific article; zbMATH DE number 3757528 (Why is no real title available?)
- scientific article; zbMATH DE number 3222967 (Why is no real title available?)
- An introduction to copulas.
- Coherent measures of risk
- Computational methods in decision-making, economics and finance
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Families of Multivariate Distributions
- Measures of risk
- Minimax Theorems
- On nonparametric measures of dependence for random variables
- Robust min-max portfolio strategies for rival forecast and risk scenarios
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The pricing of options and corporate liabilities
- Worst-case conditional value-at-risk with application to robust portfolio management
Cited in
(37)- The shifting dependence dynamics between the G7 stock markets
- Convergence results for patchwork copulas
- Data-driven distributionally robust risk parity portfolio optimization
- Copula theory and probabilistic sensitivity analysis: is there a connection?
- A review on ambiguity in stochastic portfolio optimization
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Multi-objective robust cross-market mixed portfolio optimization under hierarchical risk integration
- Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
- Robust portfolio selection with a combined WCVaR and factor model
- Portfolio optimization with a copula-based extension of conditional value-at-risk
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
- Robust optimization of mixed CVaR STARR ratio using copulas
- Robust optimization approaches for portfolio selection: a comparative analysis
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Realized performance of robust portfolios: worst-case Omega vs. CVaR-related models
- Copula-based Markov process
- On peculiarities of CoVaR-based portfolio selection
- Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR
- Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
- Robust portfolio optimization: a categorized bibliographic review
- New safe approximation of ambiguous probabilistic constraints for financial optimization problem
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- On a high-dimensional model representation method based on copulas
- On the robustness of portfolio allocation under copula misspecification
- Robust omega ratio optimization using regular vines
- Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
- Copula based multivariate semi-Markov models with applications in high-frequency finance
- Portfolio selection with commodities under conditional copulas and skew preferences
- Robust and Pareto optimality of insurance contracts
- Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy
- Optimal product bundling with dependent valuations: the price of independence
- A concept of copula robustness and its applications in quantitative risk management
- Simulation methods for robust risk assessment and the distorted mix approach
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Worst-case CVaR based portfolio optimization models with applications to scenario planning
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
- A study of a dynamic portfolio selection model based on a complex copula function
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