Extension of dependence properties to semi-copulas and applications to the mean-variance model

DOI10.1016/j.fss.2012.08.011zbMath1284.62306OpenAlexW1991596286MaRDI QIDQ2445415

Roy Cerqueti, Fabio L. Spizzichino

Publication date: 14 April 2014

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2012.08.011

zbMATH Keywords

dependence propertiesindifference curvescomparison between risky assets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (3)

A Network Approach to Risk Theory and Portfolio Selection ⋮ Supermigrativity of aggregation functions ⋮ Mean-variance portfolio selection in presence of infrequently traded stocks

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to copulas. Properties and applications
• Triangular norms
• Relations among univariate aging, bivariate aging and dependence for exchangeable lifetimes
• Semi-copulas, capacities and families of level sets
• AGING FUNCTIONS AND MULTIVARIATE NOTIONS OF NBU AND IFR
• Safety First and the Holding of Assets

This page was built for publication: Extension of dependence properties to semi-copulas and applications to the mean-variance model