Tail dependence plays important role in portfolio optimization. The higher tail dependence among assets, the higher risk of simultaneous high loss in their prices. In this paper the choice of pair-copulas in pair-copula construction model is done by minimizing the distances between theoretical...

The choice and estimation of joint probability distribution function are key steps in portfolio optimization problem. As such distribution functions pair-copula constructions (PCC), or vine-copulae, on arbitrary R-vines are used. For the investor with exponential utility criterion the NYSE oil...