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- W1540897712 abstract "The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties. The multivariate convergence properties are analysed. The concept of Bernstein copula is introduced as a generalisation of some bivariate and higher dimensional families of copulae. Statistical properties of the Bernstein copula are studied together with implementation issues related to portfolio theory and expected utility optimisation." @default.
- W1540897712 created "2016-06-24" @default.
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- W1540897712 date "2004-06-16" @default.
- W1540897712 modified "2023-09-27" @default.
- W1540897712 title "Bernstein Approximations to the Copula Function and Portfolio Optimization" @default.
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- W1540897712 doi "https://doi.org/10.17863/cam.5444" @default.
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