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On the robustness of portfolio allocation under copula misspecification

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https://hal-cyu.archives-ouvertes.fr/hal-03679698
Contributor : Jean-Luc Prigent Connect in order to contact the contributor
Submitted on : Friday, May 27, 2022 - 12:02:14 AM
Last modification on : Friday, August 5, 2022 - 2:46:00 PM

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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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