Dependence structures beyond copulas

Dependence structures beyond copulas

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To calculate the distribution function of the linear portfolio X = uiZ^ + u^Z^, given by P[X alt;s]= P[WlZ(1) + Apj2Z(2) alt; a], from the joint ... Had we attempted to calculate optimal portfolios for portfolios with d agt; 2 instruments, we would have had to calculate d dimensional analogues of the double integrals (7.20). ... The numerical integration was carried out with the numerical integration tool provided in Matlab.

Title:Dependence structures beyond copulas
Author:Joerg Rothenbuehler
Publisher: - 2005


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