Bernstein Approximations to the Copula Function and Portfolio Optimization
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alessio Sancetta, 2004.
"Copula Based Monte Carlo Integration in Financial Problems,"
wp04-02, Warwick Business School, Finance Group.
- Sancetta, A., 2005. "Copula Based Monte Carlo Integration in Financial Problems," Cambridge Working Papers in Economics 0506, Faculty of Economics, University of Cambridge.
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- Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.
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More about this item
Keywordscopulae; Bernstein polynomials; approximation theory; portfolio;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
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