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Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence - MaRDI portal

Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (Q4559325)

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scientific article; zbMATH DE number 6987641
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English
Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence
scientific article; zbMATH DE number 6987641

    Statements

    title
    Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence (English)
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    author
    Irène Gijbels
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    Klaus Herrmann
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    publication date
    3 December 2018
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    zbMATH Keywords
    aggregation of risk
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    capital allocation
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    copula
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    dependence
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    portfolio selection
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    Smolyak integration
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    sums of random variables
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    describes a project that uses
    GNU parallel
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    nacopula
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    QRM
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    62P05
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    62H05
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    zbMATH DE Number
    6987641
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