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The Use of Copulas in Asset Allocation
Luca Riccetti
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- Editora: UmLivro
- Ano: 2010
- ISBN: 9783843352512
- I evaluate the problems caused by the use of the mean-variance criterion, conceived by Markowitz, that addresses the allocation of financial portfolios. Many authors have suggested that the mean-variance criterion can not correctly proxy the expected utility with non-Normal returns. Thus, a strategy
Descrição: I evaluate the problems caused by the use of the mean-variance criterion, conceived by Markowitz, that addresses th... Veja mais