The Use of Archimedean Copulas to Model Portfolio Allocations
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(37)- On the robustness of portfolio allocation under copula misspecification
- Arrangement increasing resource allocation
- Archimedean copulae and positive dependence
- Jackknife empirical likelihood method for copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
- Measuring the coupled risks: A copula-based CVaR model
- Joint stochastic orders of high degrees and their applications in portfolio selections
- Extension of dependence properties to semi-copulas and applications to the mean-variance model
- A note on allocation of portfolio shares of random assets with Archimedean copula
- A generalization of the Archimedean class of bivariate copulas
- Dependence structure of conditional Archimedean copulas
- Ordering optimal proportions in the asset allocation problem with dependent default risks
- Optimal portfolio problem with unknown dependency structure
- On the multidimensional extension of countermonotonicity and its applications
- A new bivariate Archimedean copula with application to the evaluation of VaR
- Ordering scalar products with applications in financial engineering and actuarial science
- Fitting high-dimensional copulae to data
- Dose marginal distribution require to be tested in copula method? An asset allocation perspective based on CVaR framework
- On allocations to portfolios of assets with statistically dependent potential risk returns
- Dependence structure of market states
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- Hierarchies of Archimedean copulas
- Modelling sample selection using Archimedean copulas
- Strategic asset allocation with switching dependence
- Permutation monotone functions of random vectors with applications in financial and actuarial risk management
- On the structure and estimation of hierarchical Archimedean copulas
- Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks
- Optimal periodic resource allocation in reactive dynamical systems: Application to microalgal production
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- Copula modeling from Abe Sklar to the present day
- Increasing convex order of capital allocation with dependent assets under threshold model
- Ordering results for random maxima and minima from two dependent Kumaraswamy-generalized distributed samples
- Tree-based conditional copula estimation
- Empirical likelihood based confidence intervals for copulas
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