Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
DOI10.1007/s10479-018-2932-xzbMath1434.91058OpenAlexW2808115541WikidataQ129701054 ScholiaQ129701054MaRDI QIDQ1730697
L. Boffino, Maria Elena De Giuli, Elisabetta Allevi, Giorgia Oggioni
Publication date: 6 March 2019
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-2932-x
portfolio optimizationpair-copula constructionvine copulaslong-term natural gas contractsmultivariate dependence structure
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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