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Stochastic Orders and Moments of Absolute Value of Normal Random Variable

Comlan, Emile C. Bonaventure - 2018

It is already known, under certain conditions including stochastic inequalities, the comparison of moments. In this paper, we will study in detail the reverse of this problem, that is, the stochastic orderings implied by moments inequalities. We will limit our study to the absolute value of...

Persistent link: https://www.econbiz.de/10012921588

Uniform estimate for randomly weighted sums of dependent subexponential random variables

Liu, Yan; Zhang, Qinqin - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 303-318

Persistent link: https://www.econbiz.de/10011407748

Pricing the Correlation Skew with Normal Mean-Variance Mixture Copulas

Lujan, Ignacio - 2021

-variance mixture copulas. The goal is to develop a copula-based method with the flexibility to reproduce the correlation skew, and at … correlation skew is involved in different ways …

Persistent link: https://www.econbiz.de/10013243987

Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

Stefanova, Denitsa - 2011

We solve for the optimal portfolio allocation in a setting where both conditional correlation and the clustering of … when dynamic conditional correlation has been accounted for, and vice versa. Both effects have distinct portfolio … both varying levels of average correlation and tail dependence coefficients …

Persistent link: https://www.econbiz.de/10013128428

A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs

Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012819586

Limitations of portfolio diversification through fat tails of the return Distributions : some empirical evidence

Eom, Cheoljun; Kaizoji, Taisei; Livan, Giacomo; Scalas, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821302

Forward-looking measures of higher-order dependencies with an application to portfolio selection

Brinkmann, Felix; Kempf, Alexander; Korn, Olaf - 2014 - Current Version: January 2014

This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...

Persistent link: https://www.econbiz.de/10010235242

Forward-looking measures of higher-order dependencies with an application to portfolio selection

Brinkmann, Felix; Kempf, Alexander; Korn, Olaf - 2013 - First Version: November 2013

This paper provides implied measures of higher-order dependencies between assets. These measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the full covariance, co-skewness, and co-kurtosis matrices of asset returns. In...

Persistent link: https://www.econbiz.de/10010207818

Capital allocation based on the tail covariance premium adjusted

Wang, Min - In: Insurance / Mathematics & economics 57 (2014), pp. 125-131

Persistent link: https://www.econbiz.de/10010402702

Mixed copula model with stochastic correlation for CDO pricing

Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174

Persistent link: https://www.econbiz.de/10010425701