{"product_id":"the-use-of-copulas-in-asset-allocation-von-luca-riccetti","title":"The Use of Copulas in Asset Allocation","description":"\u003cp\u003eI evaluate the problems caused by the use of the  mean-variance criterion, conceived by Markowitz, that  addresses the allocation of financial portfolios. Many authors have suggested that the mean-variance  criterion can not correctly proxy the expected  utility with non-Normal returns. Thus, a strategy is  needed that can enable us to understand whether the  loss of optimality due to the mean-variance criterion  is significant or negligible. I try to achieve this by developing an analysis on  the composition of the optimal portfolio and on the  cost of the Markowitz allocation compared to an  allocation that uses models with copulas (Normal,  Student-t, Clayton, Gumbel, Frank, mix copulas and  Canonical Vine copulas) in portfolios composed by 2  or more assets, analyzing various combinations of  indices to test whether the use of copulas  improves the investor''s utility and revenue. Moreover I build models that considers return moments and co-moments till the fourth power in order to  understand whether they can approximate the use of  copulas to obtain optimal weights. The analysis should be interesting to Investment Fund  Asset Managers, but also to academic researchers.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783843352512\"\u003e\u003ch3\u003eWhen and How a Copula Model can be Useful?\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783843352512","offer_id":39497153806429,"sku":"9783843352512","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/18dce807-8278-47e6-80af-cefc7e39c25e.jpg?v=1776056702","url":"https:\/\/shop.autorenwelt.de\/en\/products\/the-use-of-copulas-in-asset-allocation-von-luca-riccetti","provider":"Autorenwelt Shop","version":"1.0","type":"link"}