Optimal Expected-Shortfall Portfolio Selection with Copula-Induced Dependence

© 2018, © 2018 Informa UK Limited, trading as Taylor & Francis Group. We provide a computational framework for the selection of weights (W1, . . .,Wd) that minimize the expected shortfall of the aggregated risk Z= ∑i=id WiXi. Contrary to classic and recent results, we neither restrict the marginal distributions nor the dependence structure of (X1, . . .,Xd) to any specific type. While the margins can be set to any absolutely continuous random variable with finite expectation, the dependence structure can be modelled by any absolutely continuous copula function. A real-world application to portfolio selection illustrates the usability of the new framework.

Jaar van publicatie:2018