Convex combinations of quadrant dependent copulas

DOI10.1016/j.aml.2012.08.019zbMath1402.62092OpenAlexW2027794898MaRDI QIDQ691749

Wing-Keung Wong, Luis Fuentes García, Ričardas Zitikis, Martín Egozcue

Publication date: 4 December 2012

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2012.08.019

zbMATH Keywords

copulaconvex combinationquadrant dependencequadrant dependence in expectation

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

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