Low, Rand Kwong Yew; Alcock, Jamie; Faff, Robert; … - In: Journal of Banking & Finance 37 (2013) 8, pp. 3085-3099
In the context of managing downside correlations, we examine the use of multi-dimensional elliptical and asymmetric copula models to forecast returns for portfolios with 3–12 constituents. Our analysis assumes that investors have no short-sales constraints and a utility function characterized...