{"title":"Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence","authors":"I. Gijbels, K. Herrmann","doi":"10.1080/1350486X.2018.1492347","DOIUrl":null,"url":null,"abstract":"ABSTRACT We provide a computational framework for the selection of weights that minimize the expected shortfall of the aggregated risk . Contrary to classic and recent results, we neither restrict the marginal distributions nor the dependence structure of to any specific type. While the margins can be set to any absolutely continuous random variable with finite expectation, the dependence structure can be modelled by any absolutely continuous copula function. A real-world application to portfolio selection illustrates the usability of the new framework.","PeriodicalId":35818,"journal":{"name":"Applied Mathematical Finance","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2018-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/1350486X.2018.1492347","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 3
Abstract
ABSTRACT We provide a computational framework for the selection of weights that minimize the expected shortfall of the aggregated risk . Contrary to classic and recent results, we neither restrict the marginal distributions nor the dependence structure of to any specific type. While the margins can be set to any absolutely continuous random variable with finite expectation, the dependence structure can be modelled by any absolutely continuous copula function. A real-world application to portfolio selection illustrates the usability of the new framework.
期刊介绍：
The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.
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