Portfolio selection based on a simulated copula

zbMATH Open1197.91180MaRDI QIDQ3583418FDOQ3583418

Authors: Sergio Ortobelli, Almira Biglova, Stoyan V. Stoyanov, Svetlozar T. Rachev 

Publication date: 27 August 2010

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zbMATH Keywords

stable distributionsdynamic measuresperformance ratiosasymmetric \(t\)-copula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cited In (2)

• Portfolio selection with commodities under conditional copulas and skew preferences
• Portfolio optimization with optimal expected utility risk measures

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