Application of Clayton Copula in Portfolio Optimization and its Comparison with Markowitz Mean-Variance Analysis
With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2018-03-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_539133_4405e6847a2f6e794d577aed26b7d892.pdf |