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• W2771303327 abstract "The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a model for asset allocation. A method of parameter estimation is deployed that is nearly instantaneous for large dimensions. The expected shortfall of the portfolio distribution is obtained by combining simulation with a parametric approximation for speed enhancement. A simulation-based method for mean-expected shortfall portfolio optimization is developed. An extensive out-of-sample backtest exercise is conducted and comparisons made with common asset allocation techniques." @default.
• W2771303327 created "2017-12-22" @default.
• W2771303327 creator A5051234257 @default.
• W2771303327 creator A5090692960 @default.
• W2771303327 date "2017-12-02" @default.
• W2771303327 modified "2023-09-25" @default.
• W2771303327 title "COBra: Copula-Based Portfolio Optimization" @default.
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• W2771303327 doi "https://doi.org/10.1007/978-3-319-70942-0_3" @default.
• W2771303327 hasPublicationYear "2017" @default.
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