On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails.
Guo-Dong XingXiaoli GanXiaohu LiShanchao YangPublished in: Commun. Stat. Simul. Comput. (2020)
Keyphrases
- heavy tails
- portfolio management
- probability density function
- portfolio optimization
- von neumann
- dependence structure
- heavy tailed
- expected utility
- decision making
- investment decisions
- joint distribution
- expectation maximization
- markov chain
- probability distribution
- multiscale
- robust optimization
- wavelet coefficients
- em algorithm
- higher order