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1. 1. Copula-based Portfolio Optimization

   Författare :Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

   Sammanfattning : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. LÄS MER