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A note on allocation of portfolio shares of random assets with Archimedean copula
Li, Xiaohu; You, Yinping - In: Stochastic methods in reliability and risk management : …, (pp. 155-167). 2014
Persistent link: https://www.econbiz.de/10010239387
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Pricing forward-starting collateralized debt obligations using dynamic copula processes
Totouom, Daniel; Armstrong, Margaret - In: The credit derivatives handbook : global perspectives, …, (pp. 259-288). 2008
Persistent link: https://www.econbiz.de/10003748424
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Non-linear dependence modeling with bivariate copulas: statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher; Stübinger, Johannes - In: Essays on quantitative finance in the context of …, (pp. 11-45). 2018
Persistent link: https://www.econbiz.de/10011901803
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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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Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
Allevi, Elisabetta; Boffino, L.; De Giuli, Maria Elena; … - 2019
Persistent link: https://www.econbiz.de/10012000643
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Hedging asymmetric dependence
Hatherley, Anthony - In: Asymmetric dependence in finance : diversification, …, (pp. 110-132). 2018
Persistent link: https://www.econbiz.de/10011978506
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The most entropic canonical copula with an application to "style" investment
Chu, Ba; Satchell, Stephen - In: Asymmetric dependence in finance : diversification, …, (pp. 221-262). 2018
Persistent link: https://www.econbiz.de/10011978516
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An assessment of copula functions approach in conjunction with factor model in portfolio credit risk management
Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015045615
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Spatial contagion between financial markets : new evidence of asymmetric measures
Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022
Persistent link: https://www.econbiz.de/10013342100
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Robust portfolio optimization
Pachamanova, Dessislava A.; Kolm, Petter N.; Fabozzi, … - 2008
Persistent link: https://www.econbiz.de/10003765851