-linear dependence structure can result in an overestimation or underestimation of these metrics. Copula functions are commonly utilized … to address non-normal dependence structures. This study examines the impact of asset dependence on the squared maximum … Sharpe ratio using copulas and proposes a copula-based approach to tackle the estimation issue. The performance of the …

induces a positive dependence among the components, it is typically possible to improve the unconstrained lower bound. Finally …, the unconstrained dependence uncertainty spreads of expected shortfall, value-at-risk and the expectile are compared. …