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- W1594641272 abstract "Many problems in Finance, such as risk management, optimal asset allocation, and derivative pricing, require an understanding of the volatility and correlations of assets returns. In these cases, it may be necessary to represent empirical data with a parametric distribution. In the literature, many distributions can be found to represent univariate data, but few can be extended to multivariate populations. The most widely used multivariate distribution in the aggregation of dependent risks in a portfolio is the Normal distribution, which has the drawbacks of inflexibility and frequent inappropriateness. Here, we consider modelling assets and measuring portfolio risks using the family of Koehler-Symanowski multivariate distributions with specific marginals, as, for example, the generalized lambda distribution. This family of distributions can be defined using the cdf along with interaction terms in the independence case. This family can be derived using a particular transformation of exponential random variables and an independent gamma. This distribution has the advantage of allowing models with complex dependence structures, as we demonstrate with Monte Carlo simulations and the analysis of the risk of a portfolio" @default.
- W1594641272 created "2016-06-24" @default.
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- W1594641272 date "2004-08-11" @default.
- W1594641272 modified "2023-09-27" @default.
- W1594641272 title "Aggregation of Dependent Risks with Specific Marginals by the Family of Koehler-Symanowski Distributions" @default.
- W1594641272 hasPublicationYear "2004" @default.
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