Portfolio selection using Archimedean copula methods
M.Comm. === This study analyzes the effect of the subprime crisis on portfolio allocation from the perspective of dependence structure. Empirical evidence has proved that the multivariate normal distribution is inadequate to model portfolio asset return distribution - firstly because the empirical m...
| Published: |
2012
|
|---|---|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10210/4965 |