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OR
2002
Springer
13 years 10 months ago
Copulae as a new tool in financial modelling
The paper presents an overview of financial applications of copulas. Copulas permit to represent joint distribution functions by splitting the marginal behavior, embedded in the ma...
Elisa Luciano, Marina Marena
OR
2002
Springer
13 years 10 months ago
Sharpe style analysis in the msci sector portfolios: a monte carlo integration approach
We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style portfolio weights of the MSCI sector returns. Following van Dijk and Kloek (1980) an appropri...
George A. Christodoulakis