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Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach
B. Sabino da Silva, Fernando - 2018
Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining …: a multidimensional Gaussian copula model and a constant mix portfolio. Our empirical analysis shows that the Mixed … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …
Persistent link: https://www.econbiz.de/10012931953
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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Acceptable set topic modeling
Berk Wheelock, Lauren; Pachamanova, Dessislava A. - In: European journal of operational research : EJOR 299 (2022) 2, pp. 653-673
Persistent link: https://www.econbiz.de/10013207156
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Robust combination testing : methods and application to COVID-19 detection
Jain, Sanjay; Jónas Oddur Jónasson; Pauphilet, Jean; … - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2661-2681
Persistent link: https://www.econbiz.de/10014520146
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Comparing multivariate distributions : a novel approach using optimal transport-based plots
Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024
Persistent link: https://www.econbiz.de/10014545370
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Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
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Safe approximations of chance constraints using historical data
Yanıkoğlu, İhsan; Hertog, Dirk den - 2011
Persistent link: https://www.econbiz.de/10009389594
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A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems
Yan, Zhe; Chen, Zhiping; Consigli, Giorgio; Liu, Jia; … - In: Stochastic optimization: theory and applications, (pp. 849-881). 2020
Persistent link: https://www.econbiz.de/10012290846
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A particle swarm optimization copula-based approach with application to cryptocurrency portfolio optimisation
Mba, Jules Clément; Mai, Magdaline Mbong - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-14
stablecoins (USDT and USDC). We examine the copula particle swarm optimization (CPSO) portfolio strategy against three other …
Persistent link: https://www.econbiz.de/10013369573
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Robust asset allocation strategies : relaxed versus classical robustness
Recchia, Raffaela; Scutellà, Maria Grazia - In: IMA journal of management mathematics 25 (2014) 1, pp. 21-56
Persistent link: https://www.econbiz.de/10010242806