2004, 2001, English, Article, Working paper edition: Bernstein Approximations to the Copula Function and Portfolio Optimization Sancetta, Alessio; Satchell, Stephen E.

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/562
Physical Description
  • 498612 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:04:50Z
  • 2001-06
Language
  • English

Edition details

Title
  • Bernstein Approximations to the Copula Function and Portfolio Optimization
Author
  • Sancetta, Alessio
  • Satchell, Stephen E.
Published
  • 2004-06-16T16:04:50Z
  • 2001-06
Physical Description
  • 498612 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties. The multivariate convergence properties are analysed. The concept of Bernstein copula is introduced as a generalisation of some bivariate and higher dimensional families of copulae. Statistical properties of the Bernstein copula are studied together with implementation issues related to portfolio theory and expected utility optimisation.
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment