Canonical Vine Copulas in the Context of Modern Portfolio Management: Are They Worth It?

[1]  Ba Chu,et al.  Recovering copulas from limited information and an application to asset allocation , 2011 .

[2]  J. Yoder,et al.  Diversification across mutual funds in a three-moment world , 2000 .

[3]  Pierluigi Balduzzi,et al.  Transaction costs and predictability: some utility cost calculations , 1999 .

[4]  Andrew Ang,et al.  Asymmetric Correlations of Equity Portfolios , 2001 .

[5]  Paul H. Kupiec,et al.  Techniques for Verifying the Accuracy of Risk Measurement Models , 1995 .

[6]  T. Ané,et al.  Dependence Structure and Risk Measure , 2003 .

[7]  Xueliang Li,et al.  On a Relation Between , 2012 .

[8]  N. Barberis Investing for the Long Run When Returns are Predictable , 2000 .

[9]  F. Longin,et al.  Extreme Correlation of International Equity Markets , 2000 .

[10]  Alex Kane,et al.  Skewness Preference and Portfolio Choice , 1982, Journal of Financial and Quantitative Analysis.

[11]  R. C. Merton,et al.  Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .

[12]  Campbell R. Harvey,et al.  Conditional Skewness in Asset Pricing Tests , 1999 .

[13]  Norman R. Swanson,et al.  A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks , 1997, Review of Economics and Statistics.

[14]  William N. Goetzmann,et al.  Portfolio Performance Manipulation and Manipulation-Proof Performance Measures , 2004 .

[15]  J. Ingersoll Theory of Financial Decision Making , 1987 .

[16]  R. Rockafellar,et al.  Optimization of conditional value-at risk , 2000 .

[17]  Andrew J. Patton Copula-Based Models for Financial Time Series , 2009 .

[18]  Alex W. H. Chan Merton, Robert C. , 2010 .

[19]  Andrew Ang,et al.  Downside Risk , 2004 .

[20]  R. Nelsen An Introduction to Copulas , 1998 .

[21]  John Liechty,et al.  Portfolio selection with higher moments , 2004 .

[22]  A. Frigessi,et al.  Pair-copula constructions of multiple dependence , 2009 .

[23]  Philip A. Horvath,et al.  On The Direction of Preference for Moments of Higher Order Than The Variance , 1980 .

[24]  Jamie Alcock,et al.  Portfolio Construction Incorporating Asymmetric Dependence Structures: A User's Guide , 2007 .

[25]  Victor DeMiguel,et al.  Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? , 2009 .

[26]  L. Glosten,et al.  On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .

[27]  F. Longin,et al.  Is the Correlation in International Equity Returns Constant: 1960-90? , 1995 .

[28]  Amado Peiró Skewness in financial returns , 1999 .

[29]  René Garcia,et al.  Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects , 2008 .

[30]  Fred D. Arditti RISK AND THE REQUIRED RETURN ON EQUITY , 1967 .

[31]  Satishs Iyengar,et al.  Multivariate Models and Dependence Concepts , 1998 .

[32]  R. Aggarwal,et al.  SECURITY RETURN DISTRIBUTIONS AND MARKET STRUCTURE: EVIDENCE FROM THE NYSE/AMEX AND THE NASDAQ MARKETS , 1993 .

[33]  Abe Sklar,et al.  Random variables, joint distribution functions, and copulas , 1973, Kybernetika.

[34]  B. Hansen Autoregressive Conditional Density Estimation , 1994 .

[35]  E. Luciano,et al.  Copula Methods in Finance: Cherubini/Copula , 2004 .

[36]  M. Kritzman,et al.  The Myth of Diversification , 2009, The Journal of Portfolio Management.

[37]  Andrew J. Patton On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation , 2002 .

[38]  Sébastien Page,et al.  In Defense of Optimization: The Fallacy of 1/N , 2010 .

[39]  Dorota Kurowicka,et al.  Dependence Modeling: Vine Copula Handbook , 2010 .

[40]  Jonathan H. Wright,et al.  Forecasting Inflation , 2011 .

[41]  Jeff Fleming,et al.  Predicting stock market volatility: A new measure , 1995 .

[42]  Peter Christoffersen,et al.  Elements of Financial Risk Management , 2003 .

[43]  W. L. Beedles,et al.  Diversification in a Three-Moment World , 1978, Journal of Financial and Quantitative Analysis.

[44]  E. Luciano,et al.  Copula methods in finance , 2004 .

[45]  Stan Uryasev,et al.  Conditional value-at-risk: optimization algorithms and applications , 2000, Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) (Cat. No.00TH8520).

[46]  Matthew Brosnahan,et al.  International convergence of capital measurement and capital standards for banks , 1989 .