Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence

DOI10.1080/1350486X.2018.1492347zbMath1418.91469MaRDI QIDQ4559325

Klaus Herrmann, Irène Gijbels

Publication date: 3 December 2018

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

zbMATH Keywords

copulaportfolio selectiondependencecapital allocationsums of random variablesaggregation of riskSmolyak integration

Mathematics Subject Classification ID

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 (3)

When copulas and smoothing met: an interview with Irène Gijbels ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications

Uses Software

• nacopula
• QRM
• GNU parallel

Cites Work

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