Portfolio selection based on a simulated copula
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Publication:3583418
zbMATH Open1197.91180MaRDI QIDQ3583418FDOQ3583418
Authors: Sergio Ortobelli, Almira Biglova, Stoyan V. Stoyanov, Svetlozar T. Rachev 
Publication date: 27 August 2010
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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 (7)
- Portfolio selection with commodities under conditional copulas and skew preferences
- A study of a dynamic portfolio selection model based on a complex copula function
- A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
- Portfolio selection via D-vine copula-quantile regression method
- Optimal expected-shortfall portfolio selection with copula-induced dependence
- Scenario generation and portfolio selection in bear market with GARCH models
- Portfolio optimization with optimal expected utility risk measures
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