相关论文: Semiparametric Dynamic Copula Models for Portfolio…

Multivariate volatility modeling and forecasting are crucial in financial economics. This paper develops a copula-based approach to model and forecast realized volatility matrices. The proposed copula-based time series models can capture…

Copulas are a powerful tool for modeling multivariate distributions as they allow to separately estimate the univariate marginal distributions and the joint dependency structure. However, known parametric copulas offer limited flexibility…

Semiparametric forecasting and filtering are introduced as a method of addressing model errors arising from unresolved physical phenomena. While traditional parametric models are able to learn high-dimensional systems from small data sets,…

In this paper, we present a two-stage stochastic international portfolio optimisation model to find an optimal allocation for the combination of both assets and currency hedging positions. Our optimisation model allows a "currency overlay",…

We introduce a new set of consistent measures of risks, in terms of the semi-invariants of pdf's, such that the centered moments and the cumulants of the portfolio distribution of returns that put more emphasis on the tail the…

We propose a Gaussian-copula-based framework that learns deal-level dependence directly from observed joint success frequencies across founder, geography, and market attributes. Holding marginal deal success probabilities fixed, deal-level…

We develop a general variational inference method that preserves dependency among the latent variables. Our method uses copulas to augment the families of distributions used in mean-field and structured approximations. Copulas model the…

We live in a multivariate world, and effective modeling of financial portfolios, including their construction, allocation, forecasting, and risk analysis, simply is not possible without explicitly modeling the dependence structure of their…

We develop a semi-static framework for the variance-optimal hedging of multi-asset derivatives exposed to correlation and covariance risk. The approach combines continuous-time dynamic trading in the underlying assets with a static…

This paper proposes a new method for financial portfolio optimization based on reducing simultaneous asset shocks across a collection of assets. This may be understood as an alternative approach to risk reduction in a portfolio based on a…

Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their natural multivariate generalizations, we give exact formulas…

Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…

This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…

Using a family of modified Weibull distributions, encompassing both sub-exponentials and super-exponentials, to parameterize the marginal distributions of asset returns and their multivariate generalizations with Gaussian copulas, we offer…

Estimating the covariance of asset returns, i.e., the risk model, is a key component of financial portfolio construction and evaluation. Most risk modeling approaches produce a factor model that decomposes the asset variability into two…

We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class…

A typical situation in competing risks analysis is that the researcher is only interested in a subset of risks. This paper considers a depending competing risks model with the distribution of one risk being a parametric or semi-parametric…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…