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Copula-Based Multivariate Models with Applications to Risk Management and Insurance · Study

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PreprintCopula-Based Multivariate Models with Applications to Risk Management and Insurance

Marco Bee2005

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Preprintgreen2005

Copula-Based Multivariate Models with Applications to Risk Management and Insurance

19 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Insurance and Financial Risk Management Probability and Risk Models

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]2012The Econometrics of Financial Markets 1966Equilibrium in a Capital Asset Market 2004Copula Methods in Finance

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Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.795964

openalex_workW1584104595

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