Optimal capital allocation with copulas

DOI10.15672/HJMS.20174620776zbMath1411.91322OpenAlexW2514663440MaRDI QIDQ4590842

Jie Hua Xie, Wei Zou

Publication date: 20 November 2017

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hjms.20174620776

zbMATH Keywords

copulaoptimal capital allocationtail mean-variance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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