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Speaker(s): Arian Cani, Markus Binder (University of Regensburg), Markus Haas (University of St. Gallen)
Vine copulas have proven to be flexible dependence models, which are able to model tail dependence pattern as they occur in financial and insurance data. The models power is driven by the ability to construct a d-dimensional dependence model from a collec
We develop a framework for analyzing a finite-horizon investor's asset allocation problem in the case where not all risks can be hedged by financial instruments and markets are therefore incomplete. We assume that the agents assess their utility relative