Bounds for Value at Risk for Asymptotically Dependent Assets - the Copula Approach.
Piotr JaworskiPublished in: EUSFLAT Conf. (1) (2007)
Keyphrases
- worst case
- dependence structure
- asymptotically optimal
- upper bound
- investment decisions
- lower bound
- risk assessment
- risk factors
- upper and lower bounds
- risk management
- decision making
- high risk
- minimum risk
- semi parametric
- expected loss
- risk measures
- risk averse
- portfolio management
- asset allocation
- neural network
- investment strategies
- search algorithm
- monte carlo simulation
- portfolio optimization
- probability distribution
- risk analysis
- multi class
- lower and upper bounds
- joint distribution