IEEE - Institute of Electrical and Electronics Engineers, Inc. - Analyzing portfolios based on tail dependence coefficients

2010 IEEE International Conference on Emergency Management and Management Sciences (ICEMMS)

Author(s): Shide Ou ; Danhui Yi
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 August 2010
Conference Location: Beijing, China, China
Conference Date: 8 August 2010
Page(s): 152 - 156
ISBN (CD): 978-1-4244-6063-2
ISBN (Electronic): 978-1-4244-6065-6
ISBN (Paper): 978-1-4244-6064-9
DOI: 10.1109/ICEMMS.2010.5563478
Regular:

For the sake of finding the portfolios with low risk and high return, copula function is used to compute the tail dependence coefficient. We present the investment ratio function of value-at-risk... View More

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