Sökning: "vine copulas"

Hittade 2 avhandlingar innehållade orden vine copulas.

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

3. 2. Bayesian inference for high dimensional factor copula models

   Författare :Hoang Nguyen; Maria Conception Ausin Olivera; Pedro Galeano San Miguel; Universidad Carlos III de Madrid; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : Copulas have been applied to many research areas as multivariate probability distributions for non-linear dependence structures. However, extending copula functions in high dimensions is challenging due to the increase of model parameters and computational intensity. LÄS MER