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Journal Articles Annals of Operations Research Year : 2018

On the robustness of portfolio allocation under copula misspecification

Abdallah Ben Saida
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Jean-Luc Prigent
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Théorie économique, modélisation et applications

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

Jean-Luc Prigent  : Connect in order to contact the contributor

https://hal-cyu.archives-ouvertes.fr/hal-03679698

Submitted on : Friday, May 27, 2022-12:02:14 AM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679698 , version 1 (27-05-2022)

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Abdallah Ben Saida, Jean-Luc Prigent. On the robustness of portfolio allocation under copula misspecification. Annals of Operations Research, 2018, 262 (2), pp.631-652. ⟨10.1007/s10479-016-2137-0⟩. ⟨hal-03679698⟩

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