Robust optimization of mixed CVaR STARR ratio using copulas
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portfolio optimizationrobust portfolio optimizationregular vine copulaARMA-GJR-GARCH modelmixed conditional value-at-riskSTARR ratio
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) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- An empirical analysis of multivariate copula models
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- Analysis of Financial Time Series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- D-vine copula based quantile regression
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- Generalized autoregressive conditional heteroscedasticity
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- Introductory econometrics for finance
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Omega-CVaR portfolio optimization and its worst case analysis
- Optimal Financial Portfolios
- Pair-copula constructions of multiple dependence
- Portfolio optimization under model uncertainty and BSDE games
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Programming with linear fractional functionals
- Properties of distortion risk measures
- RMARS: robustification of multivariate adaptive regression spline under polyhedral uncertainty
- Regime switching for dynamic correlations
- Robust Portfolio Selection Problems
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Robust optimization-methodology and applications
- Robust portfolio optimization with copulas
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- Selecting and estimating regular vine copulae and application to financial returns
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- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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- Worst-case robust Omega ratio
Cited in
(5)- Robust omega ratio optimization using regular vines
- Robust portfolio optimization: a categorized bibliographic review
- Application of Copula and Copula-CVaR in the Multivariate Portfolio Optimization
- Distributionally robust portfolio optimization under marginal and copula ambiguity
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
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