Modeling dependent financial assets by dynamic copula and portfolio optimization based on CVaR

DOI10.1501/COMMUA1_0000000723zbMath1351.93171MaRDI QIDQ2832209

Sibel Acik Kemaloglu, Emel Kizilok Kara

Publication date: 10 November 2016

Published in: Communications Faculty Of Science University of Ankara Series A1Mathematics and Statistics (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationdynamic copulaConditional Value at Risk (CVaR)

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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