The Use of Archimedean Copulas to Model Portfolio Allocations

Author:

Hennessy David A.,Lapan Harvey E.

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference23 articles.

1. A class of bivariate distributions including the bivariate logistic

2. S. Athey (1998 ): Characterizing Properties of Stochastic Objective Functions . Unpublished manuscript, Massachusetts Institute of Technology, April.

3. P. Embrechts, A. J. McNeil, and D. Straumann (1999 ): Correlation and Dependence in Risk Management: Properties and Pitfalls .Unpublished manuscript, Department of Mathematics, Swiss Federal Institute of Technology, Zurich, July.

4. On the simultaneous associativity ofF(x, y) andx+y−F(x, y)

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