Use of Copulas in Asset Allocation

Name: Use of Copulas in Asset Allocation
Price: 49.23 USD
Availability: InStock
ISBN: 9783843352512

ISBN-10: 3843352518

ISBN-13: 9783843352512

Edition: N/A

Authors: Luca Riccetti

List price: $62.00

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Description:

I evaluate the problems caused by the use of the mean-variance criterion, conceived by Markowitz, that addresses the allocation of financial portfolios. Many authors have suggested that the mean-variance criterion can not correctly proxy the expected utility with non-Normal returns. Thus, a strategy is needed that can enable us to understand whether the loss of optimality due to the mean-variance criterion is significant or negligible. I try to achieve this by developing an analysis on the composition of the optimal portfolio and on the cost of the Markowitz allocation compared to an allocation that uses models with copulas (Normal, Student-t, Clayton, Gumbel, Frank, mix copulas and…

Book details

List price: $62.00
Publisher: Lambert Academic Publishing
Binding: Paperback
Pages: 104
Size: 6.00" wide x 9.00" long x 0.25" tall
Weight: 0.374
Language: English