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

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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)

Cited In (6)

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

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