On the robustness of portfolio allocation under copula misspecification

DOI10.1007/s10479-016-2137-0zbMath1416.91362OpenAlexW2280826012MaRDI QIDQ1615817

Abdallah Ben Saida, Jean-Luc Prigent

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2137-0

zbMATH Keywords

copulasloss aversionrisk aversionGARCH modelportfolio allocationGof-test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (4)

Risk management for crude oil futures: an optimal stopping-timing approach ⋮ Statistical arbitrage in jump-diffusion models with compound Poisson processes ⋮ A concept of copula robustness and its applications in quantitative risk management ⋮ Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems

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• Portfolio performance evaluation with loss aversion

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