Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy

zbMATH Open1413.62192MaRDI QIDQ3175935FDOQ3175935

Authors Xiangyu You, Xijun Cheng, Lijun Ma

Publication date 18 July 2018

zbMATH Keywords

copulaentropyGARCHportfolioCVaR

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(6)

• Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
• Optimal expected-shortfall portfolio selection with copula-induced dependence
• Robust portfolio optimization with copulas
• Optimal impact portfolios with general dependence and marginals
• The analysis of the fund portfolio based on copula entropy
• Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization

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