Building Efficient Frontier by CVaR minimization for Non-normal Asset Returns Using Copula Theory (original) (raw)
2008
Abstract
In the realm of computational finance, the performance of the optimal portfolio largely depends upon its composition and its ability to accurately predict the market movements. Recent empirical studies have shown that the underlying assumption of normality of asset returns for risk modeling is seriously flawed, in view of their asymmetric and fat-tailed behavior. This problem is further aggravated when
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