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Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks
8 references·1 citing·32 second hop
Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks (2015)Notions of multivariate dependence and th…Some new notions of dependence with applications in optimal allocation problems (2014)Some new notions of dependenc…Dependence Modeling with Copulas (2014)Dependence Modeling with Copu…Archimedean copulae and positive dependence (2004)Archimedean copulae and posit…The Use of Archimedean Copulas to Model Portfolio Allocations (2002)The Use of Archimedean Copula…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…Multivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS1 (1996)PORTFOLIO SELECTION PROBLEMS …Demand for risky financial assets: A portfolio analysis (1990)Demand for risky financial as…Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios (2017)Ordering the largest claim am…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)An Introduction to Copulas (1999)On Default Correlation (2000)Goodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation (2003)On a multivariate Markov chain model for credit risk measurement (2005)Permutation Monotone Functions of Random Vectors with Applications in Financial and Actuarial Risk Management (2015)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009)Tails of multivariate Archimedean copulas (2009)Inference in multivariate Archimedean copula models (2011)Good News and Bad News: Representation Theorems and Applications (1981)Theory of Financial Decision Making. (1988)Options, Futures, and Other Derivative Securities. (1990)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Actuarial Theory for Dependent Risks: Measures, Orders, and Models (2007)Optimal Capital Allocation Principles (2011)Increasing risk II: Its economic consequences (1971)Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk (1976)Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Mean‐Variance Preferences and Investor Behaviour (2001)On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models: Figure 1 (2015)Ordering properties of the smallest and largest claim amounts in a general scale model (2015)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The concept of comonotonicity in actuarial science and finance: applications (2002)Constructing Uncertainty Sets for Robust Linear Optimization (2009)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)A review and assessment of importance sampling methods for reliability analysis (2022)VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002)Elliptical copulas: applicability and limitations (2003)Factor copula models for multivariate data (2013)
this work references cited by second hop

References

  • 2014Dependence Modeling with Copulas1,564 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1998Multivariate Models and Dependence Concepts352 cited
  • 2004Archimedean copulae and positive dependence130 cited
  • 1990Demand for risky financial assets: A portfolio analysis99 cited
  • 2002The Use of Archimedean Copulas to Model Portfolio Allocations78 cited
  • 1996PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS157 cited
  • 2014Some new notions of dependence with applications in optimal allocation problems55 cited

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  • 2017Ordering the largest claim amounts and ranges from two sets of heterogeneous portfolios44 cited

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