This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...

Increasing concerns regarding environment and sustainability drive firms to devote resources to green product development to satisfy customers’ preference and gain competitive advantage. Organizations require an effective learning orientation along with a market-based orientation in order to...

In this paper we examine the effect of default correlation on the price, duration and convexity of a bond portfolio. We use Clayton copula and t copula to characterize the default dependence structure. Our main result shows that, under these two types of default dependence structure, while the...