Title
The Use of Copulas in Asset Allocation: When and How a Copula Model can be Useful?,Used
Delivery time: 8-12 business days (International)
I evaluate the problems caused by the use of the meanvariance criterion, conceived by Markowitz, that addresses the allocation of financial portfolios. Many authors have suggested that the meanvariance criterion can not correctly proxy the expected utility with nonNormal returns. Thus, a strategy is needed that can enable us to understand whether the loss of optimality due to the meanvariance criterion is significant or negligible. I try to achieve this by developing an analysis on the composition of the optimal portfolio and on the cost of the Markowitz allocation compared to an allocation that uses models with copulas (Normal, Studentt, Clayton, Gumbel, Frank, mix copulas and Canonical Vine copulas) in portfolios composed by 2 or more assets, analyzing various combinations of indices to test whether the use of copulas improves the investor's utility and revenue. Moreover I build models that considers return moments and comoments till the fourth power in order to understand whether they can approximate the use of copulas to obtain optimal weights. The analysis should be interesting to Investment Fund Asset Managers, but also to academic researchers.
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Shipping & Returns
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We ship your order within 2–3 business days for USA deliveries and 5–8 business days for international shipments. Once your package has been dispatched from our warehouse, you'll receive an email confirmation with a tracking number, allowing you to track the status of your delivery.
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We provide a 2-year limited warranty, from the date of purchase for all our products.
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This warranty strictly does not cover damages that arose from negligence, misuse, wear and tear, or not in accordance with product instructions (dropping the product, etc.).
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