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 The Use of Copulas in Asset Allocation. When and How a Copula Model can be Useful?
Наименование:

The Use of Copulas in Asset Allocation. When and How a Copula Model can be Useful?

автор Luca R. издательство Книга по Требованию Книги
Cтраниц 104        мягкая обложка       
Аннотация:I try to achieve this by developing an analysis on the composition of the optimal portfolio and on the cost of the Markowitz allocation compared to an allocation that uses models with copulas (Normal, Student-t, Clayton, Gumbel, Frank, mix copulas and Canonical Vine copulas) in portfolios composed by 2 or more assets, analyzing various combinations of indices to test whether the use of copulas improves the investor' s utility and revenue. Moreover I build models that considers return moments and co-moments till the fourth power in order to understand whether they can approximate the use of copulas to obtain optimal weights. The analysis should be interesting to Investment Fund Asset Managers, but also to academic researchers. Many authors have suggested that the mean-variance criterion can not correctly proxy the expected utility with non-Normal returns. Thus, a strategy is needed that can enable us to understand whether the loss of optimality due to the mean-variance criterion is significant or negligible. I evaluate the problems caused by the use of the mean-variance criterion, conceived by Markowitz, that addresses the allocation of financial portfolios.
Автор: Luca R.
Издательство: Книга по Требованию
Год:2010
Цена:
1893 руб
Нет в наличии
Поиск: The Use of Copulas in Asset Allocation. When and How a Copula Model can be Useful?
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
Ортомолекулярная медицина Orthomol Устрание причин заболеваний. Ортомоль это новый метод для лечения и профилактики болезней. Orthomol - ортомолекулярная медицина.
Budism

Ai us pьsiv asi o pidev muu umi e. ii kхlasid ka Buddha viimased sх ad: Kхik vormi omav o kaduv. Pi gu age lakkama ul .2. Kхik olemasolev o mддra ud ka a ama. Ka a use kхrvaldab eluja u sure amise kaheksaosalise ee abil.3. Ьhelgi ole dil ei ole muu uma ud oma mi a.Karma seadus ja ka a use probleem. Budism o vх ud hi duis liku хpe use karmas ja uues isь is . Karma дhe dab egu ja selle agajдrgi. Kхik maailmas o karma loodud. Igaьks meis o omae da karma laps. Seega o aluse u pa a oma fььsilisi ja vaimseid omadusi pдrilikkuse vхi keskko a sььks, ses i ime e ise o mддra ud selle, milli e a o i g millisesse keskko da ja missugus e va ema e lapseks a sь ib. Buddha хpe ab, e alles siis, kui karma seaduse хiglus o i gimus e a ak sep eeri ud, vхib i ime e eadlikul e da muu mis alus ada. Pццrdumi e valgus use eele algab isee da ja oma olukorra pхhjalikus hi damises .Budis kдib ih i emplis medi eerimas. a kummardab Buddha kuju ees ja aus ab mu ki. Buddha kuju e e ase ab a lilli vхi puuvilju vхi siis pхle ab sui su usai eid. a mх iskleb hea eeskuju ьle, mida Buddha a dis oma eluajal ja e de heade egude ьle, mis ai avad ede eda хilsal kaheksaosalisel eel.Mu gaks saami e. Kloos rid asuvad e amas i empli e juures ja o ava ud ka ilmiku ele.
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