This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...

The thrust of this paper is to develop a new theoretical framework, based on large deviations theory, for the problem of optimal asset allocation in large portfolios. This problem is, apart from being theoretically interesting, also of practical relevance; examples include, inter alia, hedge funds...