Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

DOI10.1016/j.ejor.2016.11.019zbMath1402.91659OpenAlexW2552791088MaRDI QIDQ1751938

Duc Khuong Nguyen, Mazin A. M. Al Janabi, Theo Berger, Jose Arreola Hernandez

Publication date: 25 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/84626/1/MPRA_paper_84626.pdf

zbMATH Keywords

financedependence structuredynamic copulaslvarportfolio optimization algorithm

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (9)

The shifting dependence dynamics between the G7 stock markets ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ A comparison of tail dependence estimators ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric ⋮ Optimal multivariate financial decision making ⋮ Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets ⋮ International capital asset pricing model: the case of asymmetric information and short-sale ⋮ Copula-based Black-Litterman portfolio optimization ⋮ Random credibilitic portfolio selection problem with different convex transaction costs

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