Extension of dependence properties to semi-copulas and applications to the mean–variance model

This paper deals with the construction of a semi-copula D, not necessarily exchangeable, whose “dependence” properties translate remarkable aspects of investors' behavior. To achieve this aim, we propose a new version of the standard mean–variance framework. For our purpose, a particular class of utility functions G has been introduced. The induced transformation of G is considered and the definition of semi-copula D hinges on the family of the indifference curves of G.