Research on Logical-and-Probabilistic Modeling of Security Portfolio and Copulas

The technique of application of copulas in modeling of security portfolios by logical-and-probabilistic theory with groups of incompatible events is suggested. Results of analysis with two types of copulas are presented. The effectivesness of combination of logical-and-probabilistic theory and copulas is proved

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Year of publication:	2007
Authors:	Shokolov, Valentin ; Alexeev, Vadim ; Solojentsev, E.D
Publisher:	[S.l.] : SSRN
Subject:	Multivariate Verteilung \| Multivariate distribution \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory

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Extent:	1 Online-Ressource (14 p)
Series:	RODEO Discussion Paper ; No. 007
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2006 erstellt
Other identifiers:	10.2139/ssrn.934552 [DOI]
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014055499