Optimal capital allocation with copulas
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DOI: 10.15672/hjms.20174620776
Abstract: In this paper, we investigate optimal capital allocation problems for a portfolio consisting of different lines of risks linked by a Farlie-Gumbel- Morgenstern copula, modelling the dependence between them. Based on the Tail Mean-Variance principle,… read more here.
Keywords: allocation copulas; capital allocation; capital; optimal capital ... See more keywords