In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with … Event Driven ASset allocation approach determines the dependence between assets at tail measures. TEDAS uses adaptive Lasso … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …

assets and opposite tail movements are essential to the asset allocation problem, since they determine the level of risk in a … Driven ASset allocation, one studies the dependence between assets at different quantiles. In a hedging exercise, TEDAS uses … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …