Efficient risk simulations for linear asset portfolios in the t-copula model.

Halis Sak Wolfgang Hörmann Josef Leydold

Published in: Eur. J. Oper. Res. (2010)

Keyphrases

simulation model
prior knowledge
statistical model
formal model
mathematical model
closed form
linear models
portfolio optimization
objective function
computational model
numerical simulations
joint distribution
simulation models
piecewise constant
computationally tractable
portfolio theory