具有copula诱导依赖的最优预期亏损投资组合选择

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2018-01-02 DOI:10.1080/1350486X.2018.1492347

I. Gijbels, K. Herrmann

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引用次数: 3

摘要

摘要:我们提供了一个计算框架来选择权重，使总风险的预期不足最小化。与经典和最近的结果相反，我们既没有限制边际分布，也没有限制的依赖结构为任何特定类型。边界可以设置为任意具有有限期望的绝对连续随机变量，而相关性结构可以用任意绝对连续的联结函数来建模。一个用于投资组合选择的实际应用程序说明了新框架的可用性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence

ABSTRACT We provide a computational framework for the selection of weights that minimize the expected shortfall of the aggregated risk . Contrary to classic and recent results, we neither restrict the marginal distributions nor the dependence structure of to any specific type. While the margins can be set to any absolutely continuous random variable with finite expectation, the dependence structure can be modelled by any absolutely continuous copula function. A real-world application to portfolio selection illustrates the usability of the new framework.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.