Applications of copulas in optimisation
The methods for modelling uncertainty and assessing the risk of financial markets were placed under scrutiny after the 2008 crisis. To protect against the worst possible scenario, in a problem of asset allocation, robust optimisation is required. Still, within this framework, assumptions about the u...
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Imperial College London
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.686259 |