Name
Title | ||
|---|---|---|
Extension of dependence properties to semi-copulas and applications to the mean--variance model |
Abstract | ||
|---|---|---|
This paper deals with the construction of a semi-copula D, not necessarily exchangeable, whose ''dependence'' properties translate remarkable aspects of investors' behavior. To achieve this aim, we propose a new version of the standard mean-variance framework. For our purpose, a particular class of utility functions G has been introduced. The induced transformation of G is considered and the definition of semi-copula D hinges on the family of the indifference curves of G. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1016/j.fss.2012.08.011 | Fuzzy Sets and Systems |
Keywords | Field | DocType |
particular class,variance model,paper deal,utility functions g,remarkable aspect,standard mean-variance framework,dependence property,semi-copula d,new version,semi-copula d hinge,indifference curve,induced transformation,indifference curves | Discrete mathematics,Copula (linguistics),Hinge,Mathematics,Indifference curve | Journal |
Volume | ISSN | Citations |
220, | 0165-0114 | 1 |
PageRank | References | Authors |
0.39 | 1 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Roy Cerqueti | 1 | 41 | 15.85 |
| Fabio Spizzichino | 2 | 86 | 16.34 |