کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090257 1375623 2011 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Recovering copulas from limited information and an application to asset allocation
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Recovering copulas from limited information and an application to asset allocation
چکیده انگلیسی
This paper proposes an entropy-based method to construct a new class of copulas - the most entropic canonical copulas (MECC). Our empirical study focuses on an investment problem for an investor with a constant relative risk aversion (CRRA) utility function allocating wealth between the Dow Jones Large-Cap and Small-Cap indices, of which the contemporaneous dependence can be modeled by the MECC or other commonly-used copulas. Both the theoretical analysis of the method and the empirical study indicate the potential for enormous statistical and economic gains as a result of using the MECC.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 7, July 2011, Pages 1824-1842
نویسندگان
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