Portfolio optimization for inventory financing: copula-based approaches

DOI10.1016/j.cor.2021.105481OpenAlexW3185121009MaRDI QIDQ2669576

Bangdong Zhi, Fangming Xu, Xiao-Jun Wang

Publication date: 9 March 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2021.105481

zbMATH Keywords

copulasportfolio optimizationrisk managementinventory financing

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• Modeling spot price dependence in Australian electricity markets with applications to risk management
• A review of copula models for economic time series
• High dimensional dynamic stochastic copula models
• Multiperiod portfolio investment using stochastic programming with conditional value at risk
• Var methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return
• Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
• Efficient estimation of a semiparametric dynamic copula model
• Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
• Autoregressive Conditional Density Estimation
• Properties of hierarchical Archimedean copulas

This page was built for publication: Portfolio optimization for inventory financing: copula-based approaches