The Use of Archimedean Copulas to Model Portfolio Allocations

DOI10.1111/1467-9965.00136zbMath1072.91022OpenAlexW3121918608MaRDI QIDQ4551810

Harvey E. Lapan, David A. Hennessy

Publication date: 28 October 2002

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00136

Mathematics Subject Classification ID

Related Items (28)

Arrangement increasing resource allocation ⋮ Measuring the coupled risks: A copula-based CVaR model ⋮ On allocations to portfolios of assets with statistically dependent potential risk returns ⋮ Joint stochastic orders of high degrees and their applications in portfolio selections ⋮ Optimal periodic resource allocation in reactive dynamical systems: Application to microalgal production ⋮ Jackknife empirical likelihood method for copulas ⋮ On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence ⋮ Copula modeling from Abe Sklar to the present day ⋮ A new bivariate Archimedean copula with application to the evaluation of VaR ⋮ A note on allocation of portfolio shares of random assets with Archimedean copula ⋮ Strategic asset allocation with switching dependence ⋮ A generalization of the Archimedean class of bivariate copulas ⋮ Dependence structure of market states ⋮ Dependence structure of conditional Archimedean copulas ⋮ Empirical likelihood based confidence intervals for copulas ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ Ordering optimal proportions in the asset allocation problem with dependent default risks ⋮ Archimedean copulae and positive dependence ⋮ Optimal control and dependence modeling of insurance portfolios with Lévy dynamics ⋮ Optimal portfolio problem with unknown dependency structure ⋮ On the multidimensional extension of countermonotonicity and its applications ⋮ Ordering scalar products with applications in financial engineering and actuarial science ⋮ Ordering of Optimal Portfolio Allocations in a Model with a Mixture of Fundamental Risks ⋮ Modelling sample selection using Archimedean copulas ⋮ Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation ⋮ Fitting High-Dimensional Copulae to Data ⋮ Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management ⋮ Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

Cites Work

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• The generalized harmonic mean and a portfolio problem with dependent assets
• Dependence and order in families of Archimedean copulas

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