Algorithms for Finding Copulas Minimizing Convex Functions of Sums

DOI10.1142/S0217595916500408zbMath1354.90057arXiv1502.02130OpenAlexW1598072008MaRDI QIDQ5506760

Donald L. McLeish, Carole Bernard

Publication date: 16 December 2016

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.02130

zbMATH Keywords

minimum variancediscrete optimizationMCMCrearrangement algorithmmultivariate risk measureblock RA

Mathematics Subject Classification ID

Related Items (7)

Improved algorithms for computing worst value-at-risk ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Unnamed Item ⋮ Rearrangement algorithm and maximum entropy ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Block rearranging elements within matrix columns to minimize the variability of the row sums ⋮ A model-free approach to multivariate option pricing

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• On the multidimensional extension of countermonotonicity and its applications
• Approximation Algorithms for the Assembly Line Crew Scheduling Problem
• Pricing and Hedging Spread Options

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