Portfolio optimization of dynamic Copula models for dependent financial data using change point approach

DOI10.1501/COMMUA1_0000000768zbMath1369.91198MaRDI QIDQ4977309

Sibel Acik Kemaloglu, Emel Kizilok Kara

Publication date: 16 August 2017

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

zbMATH Keywords

portfolio optimizationchange pointdynamic copulaconditional value at risk (CVaR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Unnamed Item ⋮ The design of multiple crop insurance in Indonesia based on revenue risk using the copula model approach

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