The Use of Archimedean Copulas to Model Portfolio Allocations

Abstract

A copula is a means of generating an n-variate distribution function from an arbitrary set of n univariate distributions. For the class of portfolio allocators that are risk averse, we use the copula approach to identify a large set of n-variate asset return distributions such that the relative magnitudes of portfolio shares can be ordered according to the… (More)

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