Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
Carole Bernard; Yuntao Liu; Niall MacGillivray; Jinyuan Zhang
Dependence Modeling (2013)
- Volume: 1, page 37-53
- ISSN: 2300-2298
Access Full Article
topAbstract
topHow to cite
topReferences
top- [1] Bernard, C., Boyle, P.P., Vanduffel S. (2011). “Explicit Representation of Cost-Efficient Strategies”, Working paper available at SSRN.
- [2] Bernard, C., Chen, J.S., Vanduffel S. (2013). “Optimal Portfolio under Worst-State Scenarios”, Quant. Finance, to appear. Zbl1308.91136
- [3] Bernard, C., Jiang, X., Vanduffel S. (2012). Note on“ Improved Fréchet bounds and model-free pricing of multi-asset options” by Tankov (2011)”, J. of Appl. Probab., 49(3), 866-875. Zbl1259.60022
- [4] Bernard, C., Jiang, X., Wang R. (2013). “Risk Aggregation with Dependence Uncertainty”, Working paper. Zbl1291.91090
- [5] Bernard, C., Vanduffel S. (2011). “Optimal Investment under Probability Constraints”, AfMath proceedings.
- [6] Boyle, P.P., and W. Tian. 2007, “Portfolio Management with Constraints," Math. Finance, 17(3), 319-343. [WoS] Zbl1186.91191
- [7] Carley, H., Taylor, M.D. (2002). “A new proof of Sklar’s Theorem” in C.M. Cuadras, J. Fortiana and J.A. Rodriguez- Lallena, editors, Distributions with Given Marginals and Statistical Modelling, 29-34, Kluwer Acad. Publ., Dodrecht. Zbl1137.62336
- [8] Durante, F., Jaworski, P. (2010). “A new characterization of bivariate copulas” Comm. Statist. Theory Methods, 39(16), 2901-2912. Zbl1203.62101
- [9] Durante, F., Mesiar, R., Papini, P.-L., Sempi, C. (2007). “2-increasing binary aggregation operators”, Inform. Sci., 177(1), 111-129. [WoS] Zbl1142.68541
- [10] Embrechts, P., Puccetti, G. and Rüschendorf, L. (2013). “Model uncertainty and VaR aggregation”. J. of Banking and Finance, 37(8), 2750-2764. [WoS]
- [11] Fréchet, M. (1951). “Sur les tableaux de corrélation dont les marges sont données,”Ann. Univ. Lyon Sect.A, Series 3, 14, 53-77. Zbl0045.22905
- [12] Genest, C., Quesada-Molina, J.J., Rodri´guez, J.A., Sempi, C. (1999). “A characterization of quasi-copulas”, J. of Multivariate Anal., 69(2), 193-205. Zbl0935.62059
- [13] Grabisch, M., Marichal, J.-L., Mesiar, R., Pap, E. (2009). “Aggregation functions,” Encyclopedia of Mathematics and its Applications. Cambridge University Press, New York, (No. 127).
- [14] Hoeffding, W. (1940). “Masstabinvariante Korrelationstheorie,” Schriften des mathematischen Instituts und des Instituts für angewandte Mathematik der Universität Berlin 5, 179-233.
- [15] Kolesárová, A., Mordelová, J., Muel., E. (2004). “Kernel aggregation operators and their marginals,” Fuzzy Sets Syst., 142(1), 35-50. Zbl1043.03040
- [16] Mai, J.-F., Scherer, J., (2012). “Simulating Copulas,” World Scientific, Singapore.
- [17] Meilijson, I., Nadas, A. (1979). “Convex majorization with an application to the length of critical paths,” J. of Appl. Probab., 16, 671-677. Zbl0417.60025
- [18] Nelsen, R. (2006). “An introduction to Copulas”, 2nd edition, Springer series in Statistics. Zbl1152.62030
- [19] Nelsen, R., Quesada-Molina, J., Rodriguez-Lallena, J. and Úbeda-Flores, M. (2001). “Bounds on Bivariate Distribution Functions with Given Margins and Measures of Associations”, Comm. Statist. Theory Methods. 30(6), 1155-1162. [WoS] Zbl1008.62605
- [20] Nelsen, R., Quesada-Molina, J., Rodriguez Lallena, J. and Ubeda-Flores, M. (2004). “Best Possible Bounds on Sets of Bivariate Distribution Functions”, J. of Multivariate Anal., 90, 348-358. Zbl1057.62038
- [21] Rachev, S.T. and Rüschendorf, L. (1994). “Solution of some transportation problems with relaxed or additional constraints”, SIAM J. Control Optim., 32, 673-689. Zbl0797.60019
- [22] Rüschendorf, L. (1983). “Solution of a Statistical Optimization Problem by Rearrangement Methods”, Biometrika, 30, 55-61. Zbl0535.62008
- [23] Sadooghi-Alvandi, S. M., Shishebor, Z., Mardani-Fard, H.A. (2013). “Sharp bounds on a class of copulas with known values at several points" Communications Statist. Theory Methods, 42(12), 2215-2228. [WoS] Zbl1319.62034
- [24] Stoeber, J. and Czado, C. (2012). “Detecting regime switches in the dependence structure of high dimensional financial data”, forthcoming in Comput. Statist. Data Anal..
- [25] Tankov, P., (2011). “Improved Fréchet bounds and model-free pricing of multi-asset options”, J. of Appl. Probab., 48, 389-403. Zbl1219.60016
- [26] Tchen, A. H., (1980). “Inequalities for distributions with given margins”, Ann. of Appl. Probab., 8, 814–827. Zbl0459.62010