Mendes, Beatriz Vaz de Melo; Marques, Daniel S. - In: Emerging Markets Review 13 (2012) 4, pp. 449-464
This paper is concerned with the efficient allocation of a set of financial assets and its successful management. Efficient diversification of investments is achieved by inputing robust pair-copulas based estimates of the expected return and covariances in the mean-variance analysis of...